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

DOI10.2478/s13540-011-0024-6zbMath1273.62056OpenAlexW2109251720MaRDI QIDQ2853356

Jaya P. N. Bishwal

Publication date: 21 October 2013

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

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

zbMATH Keywords

analytic continuationFourier methodrate of weak convergencefractional Ornstein-Uhlenbeck processfractional Itō stochastic differential equationlong-memory minimum contrast estimator

Mathematics Subject Classification ID

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

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Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process ⋮ Covariance measure and stochastic heat equation with fractional noise ⋮ Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates ⋮ Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) ⋮ Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations ⋮ Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process ⋮ On the Lamperti transform of the fractional Brownian sheet ⋮ Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion ⋮ The fBm-driven Ornstein-Uhlenbeck process: Probability density function and anomalous diffusion ⋮ Maximum likelihood estimation in the non-ergodic fractional Vasicek model ⋮ The LAN property for McKean-Vlasov models in a mean-field regime ⋮ Almost sure and moment stability properties of fractional order Black-Scholes model ⋮ Recent developments on stochastic heat equation with additive fractional-colored noise ⋮ Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets

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