Statistical inference for fractional diffusion processes
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Publication:3572048
DOI10.1002/9780470667125zbMATH Open1211.62143OpenAlexW2503053036MaRDI QIDQ3572048FDOQ3572048
Publication date: 8 July 2010
Published in: Wiley Series in Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/9780470667125
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maximum likelihood estimationfractional Brownian motionparametric inferencefractional Ornstein-Uhlenbeck process
Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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- Generalized fractional integral operators and the multivariable \(H\)-function
- Maximum likelihood estimators of a long-memory process from discrete observations
- Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion
- Maximal Inequalities for Fractional Brownian Motion: An Overview
- Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process
- Nonparametric Estimation of Linear Multiplier for Fractional Diffusion Processes
- A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
- Density estimates and central limit theorem for the functional of fractional SDEs
- On some maximal and integral inequalities for sub-fractional Brownian motion
- Optimal estimation of a signal perturbed by a sub-fractional Brownian motion
- Parameter estimation for a discrete time model driven by fractional Poisson process
- Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion
- Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations
- Existence and uniqueness for a problem involving hilfer fractional derivative
- Non parametric estimation for fractional diffusion processes with random effects
- Historical survey: the chronicles of fractional calculus
- Local asymptotic normality and estimation via Kalman-Bucy filter for linear systems driven by fractional Brownian motions
- Bayesian inference for fractional oscillating Brownian motion
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
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- Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion
- Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion
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- Statistical aspects of the fractional stochastic calculus
- ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
- Certain fractional integral operators and the generalized multi-index Mittag-Leffler functions
- Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
- More on maximal inequalities for sub-fractional Brownian motion
- An identification problem for systems with additive fractional Brownian field
- Learning interacting particle systems: Diffusion parameter estimation for aggregation equations
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- Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus
- Nonparametric inference for fractional diffusion
- A general drift estimation procedure for stochastic differential equations with additive fractional noise
- Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
- Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise
- LAN property for stochastic differential equations with additive fractional noise and continuous time observation
- Parameter estimation for fractional diffusion process with discrete observations
- Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion
- Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets
- Maximum likelihood estimation for sub-fractional Vasicek model
- Statistical estimation of parameters of fractionally stable distributions
- Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
- Some Maximal Inequalities for Fractional Brownian Motion with Polynomial Drift
- Parameter identification for the discretely observed geometric fractional Brownian motion
- Science metrics on fractional calculus development since 1966
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- Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations
- Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
- Fluid heterogeneity detection based on the asymptotic distribution of the time-averaged mean squared displacement in single particle tracking experiments
- Bounds on the solution of a Cauchy-type problem involving a weighted sequential fractional derivative
- Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
- Asymptotic properties of MLE for partially observed fractional diffusion system
- Two-step wavelet-based estimation for Gaussian mixed fractional processes
- Asymptotic theory for the detection of mixing in anomalous diffusion
- Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
- Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process
- Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case
- Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
- Fractional processes and their statistical inference: an overview
- Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
- Nonparametric estimation of trend for SDEs driven by a Gaussian process
- Limit distribution of the least square estimator with observations sampled at random times driven by standard Brownian motion
- Wavelet analysis for the solution to the wave equation with fractional noise in time and white noise in space
- Local linear estimator for fractional diffusions
- Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion
- Estimation for misspecification when theoretical model for signal is smooth but real signal is of cusp-type and driven by a fractional Brownian motion
- Conditions for singularity for measures generated by two fractional psuedo-diffusion processes
- Singularity of Subfractional Brownian Motions with Different Hurst Indices
- Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion
- Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
- Repeated confidence intervals and prediction intervals using stochastic curtailment under fractional Brownian motion
- Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
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- Nonparametric estimation of linear multiplier in SDEs driven by general Gaussian processes
- Certain Fractional Integral and Differential Formulas Involving the Extended Incomplete Generalized Hypergeometric Functions
- Moment method estimation of first-order continuous-time bilinear processes
- Non symmetric Rosenblatt process over a compact
- Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes
- Singularity among selfsimilar Gaussian random fields with different scaling parameters and others
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