A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
From MaRDI portal
Publication:2450911
DOI10.1007/s11203-013-9084-zzbMath1333.62199arXiv1111.1816OpenAlexW2125211775MaRDI QIDQ2450911
Samy Tindel, Andreas Neuenkirch
Publication date: 23 May 2014
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1111.1816
Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items
Almost periodic and periodic solutions of differential equations driven by the fractional Brownian motion with statistical application, Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion, A general drift estimation procedure for stochastic differential equations with additive fractional noise, Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions, Deep learning-based parameter estimation of stochastic differential equations driven by fractional Brownian motions with measurement noise, An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter, Berry–Esséen bound for the parameter estimation of fractional Ornstein–Uhlenbeck processes, Nonparametric inference for fractional diffusion, Stochastic partial differential equations driven by space-time fractional noises, Nonparametric estimation for i.i.d. paths of fractional SDE, Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion, Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package, LAN property for stochastic differential equations with additive fractional noise and continuous time observation, Optimal rates for parameter estimation of stationary Gaussian processes, Nonparametric estimation of the trend in reflected fractional SDE, Berry-Ess\'een bounds for parameter estimation of general Gaussian processes, Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations, Sub-exponential convergence to equilibrium for Gaussian driven stochastic differential equations with semi-contractive drift, Nonparametric estimation in fractional SDE
Cites Work
- Unnamed Item
- Unnamed Item
- Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
- Ergodicity of the infinite dimensional fractional Brownian motion
- Parameter estimation for rough differential equations
- Estimation in models driven by fractional Brownian motion
- Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion
- Quadratic variations along irregular subdivisions for Gaussian processes
- Variations and estimators for self-similarity parameters via Malliavin calculus
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- The consistency of a nonlinear least squares estimator from diffusion processes
- Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
- Random attractors
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Ergodicity of stochastic differential equations driven by fractional Brownian motion
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- On inference for fractional differential equations
- Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
- Pricing by hedging and no-arbitrage beyond semimartingales
- Ergodic theory for SDEs with extrinsic memory
- Central limit theorems for sequences of multiple stochastic integrals
- Statistical aspects of the fractional stochastic calculus
- The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
- Approximate discrete-time schemes for statistics of diffusion processes
- A simple framework to justify linear response theory
- Statistical Inference for Fractional Diffusion Processes
- A Proof of the Consistency of Maximum Likelihood Estimators of Nonlinear Regression Models with Autocorrelated Errors
- Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
- Stochastic differential equations with fractal noise
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths