Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process
DOI10.1007/s11203-014-9110-9zbMath1325.60055OpenAlexW2055624606MaRDI QIDQ500869
Publication date: 5 October 2015
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-014-9110-9
numerical integrationfractional Brownian motioncharacteristic functionmaximum likelihood estimatorunit root testfractional Ornstein-Uhlenbeck process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Related Items (11)
Cites Work
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