Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion

DOI10.1007/978-3-319-07875-5MaRDI QIDQ476364zbMATH OpenOpenAlexFDO

Authors Corinne Berzin, Alain Latour, José R. León

Publication date 1 December 2014

Published in Lecture Notes in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-07875-5

zbMATH Keywords

central limit theoremsecond-order incrementssimulation algorithms

Mathematics Subject Classification ID

Point estimation (62F10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

Recommendations

• Statistical inference for fractional diffusion processes
• Parameter estimation in fractional diffusion models
• Stochastic calculus for fractional Brownian motion and related processes.
• Convergence in fractional models and applications
• Estimation in models driven by fractional Brownian motion

Cited in

(36)

• Taylor's law from Gaussian diffusions
• On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
• The rate of convergence of the Hurst index estimate for a stochastic differential equation
• Maximum likelihood estimation in the non-ergodic fractional Vasicek model
• Power Brownian motion: an Ornstein-Uhlenbeck lookout
• Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion
• On the eigenproblem for Gaussian bridges
• Baxter estimates of the Hurst parameter of fractional Brownian motion
• Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
• Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
• Pathwise least-squares estimator for linear SPDEs with additive fractional noise
• Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
• Variance estimator for fractional diffusions with variance and drift depending on time
• On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
• Historical survey: the chronicles of fractional calculus
• Large deviations and Wschebor's theorems
• Parameter estimation in fractional diffusion models
• The total variation distance between the solutions to stochastic Volterra equations and SDEs with its applications
• Conditions for singularity for measures generated by two fractional psuedo-diffusion processes
• Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion
• A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
• Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
• Difference based estimators and infill statistics
• Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
• Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
• Calibrating fractional Vasicek model
• Discrete-time inference for slow-fast systems driven by fractional Brownian motion
• The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications
• Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
• Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point
• Statistical inference for fractional diffusion processes
• Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation
• Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation
• Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means
• Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations
• Convergence in fractional models and applications

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