Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
DOI10.1007/978-3-319-07875-5zbMATH Open1341.62004OpenAlexW4206256679MaRDI QIDQ476364FDOQ476364
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
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Cited In (34)
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- The rate of convergence of the Hurst index estimate for a stochastic differential equation
- Difference based estimators and infill statistics
- Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations
- Pathwise least-squares estimator for linear SPDEs with additive fractional noise
- Calibrating fractional Vasicek model
- Historical survey: the chronicles of fractional calculus
- Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion
- Baxter estimates of the Hurst parameter of fractional Brownian motion
- Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
- Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
- Variance estimator for fractional diffusions with variance and drift depending on time
- Conditions for singularity for measures generated by two fractional psuedo-diffusion processes
- A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
- Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion
- The total variation distance between the solutions to stochastic Volterra equations and SDEs with its applications
- The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications
- Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
- Convergence in fractional models and applications
- Power Brownian motion: an Ornstein-Uhlenbeck lookout
- On the eigenproblem for Gaussian bridges
- Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
- Large deviations and Wschebor's theorems
- Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation
- On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
- Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means
- Maximum likelihood estimation in the non-ergodic fractional Vasicek model
- On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
- Taylor's law from Gaussian diffusions
- Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion
- Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
- Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
- Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
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