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

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)

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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)

• 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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