Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
DOI10.1007/S11203-013-9085-YzbMATH Open1283.62175OpenAlexW2086251948MaRDI QIDQ376704FDOQ376704
Authors: Katsuto Tanaka 
Publication date: 19 November 2013
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-013-9085-y
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Exact distribution theory in statistics (62E15) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
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- Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
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- Asymptotic properties of MLE for partially observed fractional diffusion system
Cited In (22)
- Global attracting set of stochastic differential equations with unbounded delay driven by fractional Ornstein-Uhlenbeck process
- EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
- Hypothesis testing in a fractional Ornstein-Uhlenbeck model
- On parameter estimation of fractional Ornstein-Uhlenbeck process
- Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- Statistical inference for Vasicek-type model driven by self-similar Gaussian processes
- Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
- A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
- Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process
- Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
- Latent local-to-unity models
- Clustering of extreme events in time series generated by the fractional Ornstein-Uhlenbeck equation
- Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
- Maximum likelihood estimation in the non-ergodic fractional Vasicek model
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
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