Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling

DOI10.2478/S13540-011-0024-6zbMATH Open1273.62056OpenAlexW2109251720MaRDI QIDQ2853356FDOQ2853356

Authors: Jaya P. N. Bishwal 

Publication date: 21 October 2013

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/s13540-011-0024-6

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zbMATH Keywords

analytic continuationFourier methodfractional Ornstein-Uhlenbeck processrate of weak convergencelong-memory minimum contrast estimatorfractional Itō stochastic differential equation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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Cited In (23)

• Global attracting set of stochastic differential equations with unbounded delay driven by fractional Ornstein-Uhlenbeck process
• Almost sure and moment stability properties of fractional order Black-Scholes model
• Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
• The LAN property for McKean-Vlasov models in a mean-field regime
• Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
• The fBm-driven Ornstein-Uhlenbeck process: probability density function and anomalous diffusion
• Minimum Contrast Estimation for Fractional Diffusions
• Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion
• Uniform rate of weak convergence of the minimum contrast estimator in the Ornstein-Uhlenbeck process
• Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
• Covariance measure and stochastic heat equation with fractional noise
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
• Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
• Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
• Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
• Recent developments on stochastic heat equation with additive fractional-colored noise
• Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
• On the Lamperti transform of the fractional Brownian sheet
• Maximum likelihood estimation in the non-ergodic fractional Vasicek model
• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process

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