Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process

DOI10.1080/15326349.2013.808899MaRDI QIDQ2854346zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bayes estimatorfractional Brownian motionmaximum likelihood estimationrandom walk

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(5)

• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process
• Clustering of extreme events in time series generated by the fractional Ornstein-Uhlenbeck equation
• 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

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