On drift estimation for non-ergodic fractional Ornstein-Uhlenbeck process with discrete observations
DOI10.16929/as/2014.615.57zbMath1329.60103OpenAlexW1568801385MaRDI QIDQ485967
Khalifa Es-Sebaiy, Djibril Ndiaye
Publication date: 14 January 2015
Published in: Afrika Statistika (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.as/1418310397
discrete observationsstrong consistencynon-ergodicityfractional Ornstein-Uhlenbeck processdrift estimation
Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15)
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