Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process

DOI10.1080/02331880108802733zbMath0980.62072MaRDI QIDQ2762606

Arnaud Gloter

Publication date: 19 February 2002

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880108802733

zbMATH Keywords

diffusion processes; discrete time observations; Whittle approximation; minimum contrast

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M05: Markov processes: estimation; hidden Markov models

Related Items

Asymptotics for theL^p-deviation of the variance estimator under diffusion, LAMN property for hidden processes: the case of integrated diffusions, Modeling financial time series through second-order stochastic differential equations, Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes, Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient, Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion

Cites Work

• Time series: theory and methods.
• Consistent and asymptotically normal parameter estimates for hidden Markov models
• Martingale estimation functions for discretely observed diffusion processes
• Estimation of an Ergodic Diffusion from Discrete Observations
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