Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
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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)
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Cites work
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 957960 (Why is no real title available?)
- 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 Brownian Motions, Fractional Noises and Applications
- Fractional {O}rnstein-{U}hlenbeck processes
- 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
(22)- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
- Clustering of extreme events in time series generated by the fractional Ornstein-Uhlenbeck equation
- Global attracting set of stochastic differential equations with unbounded delay driven by fractional Ornstein-Uhlenbeck process
- Hypothesis testing in a fractional Ornstein-Uhlenbeck model
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- Maximum likelihood estimation in the non-ergodic fractional Vasicek model
- Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process
- Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
- A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift
- Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
- On parameter estimation of fractional Ornstein-Uhlenbeck process
- Statistical inference for Vasicek-type model driven by self-similar Gaussian processes
- EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
- Latent local-to-unity models
- Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
- Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
- Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
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