Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
From MaRDI portal
Publication:3368564
DOI10.1080/17442500500409460zbMATH Open1082.60014OpenAlexW2047673419MaRDI QIDQ3368564FDOQ3368564
Authors: Emanuele Taufer, Nikolai N. Leonenko 
Publication date: 31 January 2006
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500500409460
Recommendations
- Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes
- On fractional Ornstein-Uhlenbeck processes
- Asymptotic results for finite superpositions of Ornstein-Uhlenbeck processes
- Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes
- scientific article; zbMATH DE number 2149876
- Fractional iterated Ornstein-Uhlenbeck processes
- Functional limit theorems for the fractional Ornstein-Uhlenbeck process
- Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications
- On the exponentials of fractional Ornstein-Uhlenbeck processes
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)
Cites Work
- Time series: theory and methods.
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Title not available (Why is that?)
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- Title not available (Why is that?)
- The Invariance Principle for Stationary Processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Processes of normal inverse Gaussian type
- Limit theorems for functionals of moving averages
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- Modeling volatility persistence of speculative returns: a new approach
- Title not available (Why is that?)
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Convergence of integrated processes of arbitrary Hermite rank
- Lévy processes, polynomials and martingales
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Title not available (Why is that?)
- Long memory relationships and the aggregation of dynamic models
- Long memory in continuous-time stochastic volatility models
- Title not available (Why is that?)
- Superposition of Ornstein-Uhlenbeck type processes
- Large deviations in estimation of an Ornstein-Uhlenbeck model
- On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
- Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
- LONG-RANGE DEPENDENCE, NON-LINEARITY AND TIME IRREVERSIBILITY
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Fitting the variance-gamma model to financial data
- The normal inverse gaussian lévy process: simulation and approximation
- Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets
- Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
- Algebraic properties of beta and gamma distributions, and applications
- Some stationary processes in discrete and continuous time
- Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
- High level sojourns for strongly dependent Gaussian processes
- A Time‐Domain Semi‐parametric Estimate for Strongly Dependent Continuous‐Time Stationary Processes
Cited In (19)
- Random broken lines that weakly converge to a fractional Ornstein-Uhlenbeck process
- Limit theorems for aggregated linear processes
- Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding
- Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
- Asymptotic results for finite superpositions of Ornstein-Uhlenbeck processes
- The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
- Centre-of-mass like superposition of Ornstein-Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
- Title not available (Why is that?)
- Fractional motions
- Superposition de d�formations cylindriques d'axes poissonniens dans le plan
- Tail behavior and almost sure growth rate of superpositions of Ornstein-Uhlenbeck-type processes
- Asymptotic behavior of weakly dependent aggregated processes
- Superposition of Ornstein-Uhlenbeck type processes
- Fast simulation of self-similar and correlated processes
- Intermittency of superpositions of Ornstein-Uhlenbeck type processes
- Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
- Anomalous is ubiquitous
- Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes
This page was built for publication: Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3368564)
