Least squares estimation for Ornstein-Uhlenbeck processes driven by the weighted fractional Brownian motion

DOI10.1016/S0252-9602(16)30008-XzbMath1363.60061OpenAlexW2259800577MaRDI QIDQ320546

Litan Yan, Xiuwei Yin, Guang Jun Shen

Publication date: 6 October 2016

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(16)30008-x

zbMATH Keywords

Ornstein-Uhlenbeck processleast squares estimatorweighted fractional Brownian motion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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