Drift estimation for a periodic mean reversion process

DOI10.1007/S11203-010-9045-8MaRDI QIDQ2431002zbMATH OpenOpenAlexFDO

Authors Brice Franke, Thomas Kott, Herold Dehling

Publication date 8 April 2011

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/27242

zbMATH Keywords

asymptotic normalitymaximum likelihood estimationOrnstein-Uhlenbeck processtime-inhomogeneous diffusion process

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 2222545 (Why is no real title available?)
• Functional analysis
• Parameter estimation in stochastic differential equations.
• Statistical inference for ergodic diffusion processes.

Cited in

(29)

• Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points
• Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case
• Parameter estimation for the drift of a time inhomogeneous jump diffusion process
• Nonparametric estimation of periodic signal disturbed by α-stable noises
• Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point
• Improved inference in generalized mean-reverting processes with multiple change-points
• 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 for a change-point problem under a generalised Ornstein-Uhlenbeck setting
• Polynomials under Ornstein-Uhlenbeck noise and an application to inference in stochastic Hodgkin-Huxley systems
• Inference in generalized exponential O-U processes
• Robust model selection for a semimartingale continuous time regression from discrete data
• Expected exit time for time-periodic stochastic differential equations and applications to stochastic resonance
• Consistent estimation in regression models for the drift function in some continuous time models
• 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
• Gaussian estimation of one-factor mean reversion processes
• 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

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