Statistical inference for Vasicek-type model driven by Hermite processes
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Publication:2274256
DOI10.1016/j.spa.2018.10.005zbMath1479.60078arXiv1712.05915OpenAlexW2963969931WikidataQ129022976 ScholiaQ129022976MaRDI QIDQ2274256
Publication date: 19 September 2019
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.05915
parameter estimationlong-range dependencestrong consistencyfractional Ornstein-Uhlenbeck processfractional Vasicek modelHermite Ornstein-Uhlenbeck Processes
Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)
Related Items (19)
Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency ⋮ The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean ⋮ Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean ⋮ Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion ⋮ Statistical inference for Vasicek-type model driven by self-similar Gaussian processes ⋮ Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process ⋮ Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion ⋮ Parameter estimation for Vasicek model driven by a general Gaussian noise ⋮ Parameter estimation for a discrete time model driven by fractional Poisson process ⋮ Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process ⋮ Parameter identification for the Hermite Ornstein-Uhlenbeck process ⋮ Fractal dimensions of the Rosenblatt process ⋮ Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations ⋮ Asymptotic normality for a modified quadratic variation of the Hermite process ⋮ Unnamed Item ⋮ Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean ⋮ Limit theorems for integral functionals of Hermite-driven processes ⋮ Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case ⋮ Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model
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