Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process

DOI10.1080/15326349.2013.808899zbMATH Open1401.60065OpenAlexW1980641930MaRDI QIDQ2854346FDOQ2854346

Authors: Soledad Torres, Ciprian A. Tudor, L. R. Rifo 

Publication date: 18 October 2013

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/133308

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zbMATH Keywords

random walkmaximum likelihood estimationfractional Brownian motionBayes estimator

Mathematics Subject Classification ID

Bayesian inference (62F15) Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Self-similar stochastic processes (60G18)

Cites Work

• Fractional Brownian motion, random walks and binary market models
• Statistical inference for fractional diffusion processes
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Statistical aspects of the fractional stochastic calculus
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• Entropic aging and extreme value statistics

Cited In (5)

• Parameter estimation for a discrete time model driven by fractional Poisson process
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach
• Clustering of extreme events in time series generated by the fractional Ornstein-Uhlenbeck equation
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process

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