Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
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Fractional processes, including fractional Brownian motion (60G22) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) 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)
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Cites work
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Asymptotic properties of MLE for partially observed fractional diffusion system
- Fractional {O}rnstein-{U}hlenbeck processes
- Fractional Brownian Motions, Fractional Noises and Applications
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 957960 (Why is no real title available?)
- Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
- On the prediction of fractional Brownian motion
- Parameter estimation and optimal filtering for fractional type stochastic systems
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Parameter estimation in stochastic differential equations.
- Sharp large deviations for the fractional Ornstein-Uhlenbeck process
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Stochastic Calculus for Fractional Brownian Motion I. Theory
Cited in
(26)- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
- Hypothesis testing in a fractional Ornstein-Uhlenbeck model
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- On parameter estimation of fractional Ornstein-Uhlenbeck process
- A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift
- Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process
- Maximum likelihood estimation in the non-ergodic fractional Vasicek model
- Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
- EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
- Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
- Statistical inference for Vasicek-type model driven by self-similar Gaussian processes
- Clustering of extreme events in time series generated by the fractional Ornstein-Uhlenbeck equation
- Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
- Latent local-to-unity models
- Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
- Global attracting set of stochastic differential equations with unbounded delay driven by fractional Ornstein-Uhlenbeck process
- Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
- Fractional Gaussian noise: spectral density and estimation methods
- Local powers of least-squares-based test for panel fractional Ornstein-Uhlenbeck process
- Fractional stochastic volatility model
- Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
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