Drift estimation for a periodic mean reversion process

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of operator theory in probability theory and statistics (47N30)

Cites Work

Parameter estimation in stochastic differential equations.
Statistical inference for ergodic diffusion processes.
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Functional analysis

Cited In (26)

Parameter estimation for the drift of a time inhomogeneous jump diffusion process
Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case
Nonparametric estimation of periodic signal disturbed by α-stable noises
Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point
Inference in generalized exponential O-U processes with change-point
Parameter estimation in mean reversion processes with deterministic long-term trend
Parameter maximum likelihood estimation problem for time periodic modulated drift Ornstein Uhlenbeck processes
Estimation and testing in generalized mean-reverting processes with change-point
Estimating a periodicity parameter in the drift of a time inhomogeneous diffusion
Nonparametric estimation for periodic stochastic differential equations driven by \(G\)-Brownian motion
On sequential estimation of the parameters of continuous-time trigonometric regression
The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean
Inference in generalized exponential O-U processes
Polynomials under Ornstein-Uhlenbeck noise and an application to inference in stochastic Hodgkin-Huxley systems
Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
Expected exit time for time-periodic stochastic differential equations and applications to stochastic resonance
Robust model selection for a semimartingale continuous time regression from discrete data
Langevin diffusions on the torus: estimation and applications
Inference in a multivariate generalized mean-reverting process with a change-point
Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
Change point testing for the drift parameters of a periodic mean reversion process
Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
Parameter least-squares estimation for time-inhomogeneous Ornstein-Uhlenbeck process
Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes
Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean
Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points

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