Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind

DOI10.1007/s11203-014-9111-8zbMath1325.60051arXiv1304.2466OpenAlexW1991388881MaRDI QIDQ500864

Ehsan Azmoodeh, Lauri Viitasaari

Publication date: 5 October 2015

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.2466

zbMATH Keywords

parameter estimationfractional Brownian motionMalliavin calculuscentral limit theoremmultiple Wiener integralsfractional Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Parametric inference (62F99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Uses Software

• YUIMA

Cites Work

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