Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
DOI10.1080/17442508.2018.1424853zbMATH Open1498.62163OpenAlexW2782814857MaRDI QIDQ5086447FDOQ5086447
Authors: Anastasia Papavasiliou, Fan Zhang 
Publication date: 5 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2018.1424853
Recommendations
- Coarse-grained modeling of multiscale diffusions: the \(p\)-variation estimates
- Maximum likelihood drift estimation for multiscale diffusions
- Maximum likelihood estimation for small noise multiscale diffusions
- On maximum likelihood estimation of parameters of Ornstein-Uhlenbeck processes
- Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Title not available (Why is that?)
- A Tale of Two Time Scales
- Parameter estimation in stochastic differential equations.
- Title not available (Why is that?)
- Statistical inference for ergodic diffusion processes.
- Multiscale Methods
- Title not available (Why is that?)
- Strong convergence of principle of averaging for multiscale stochastic dynamical systems
- Limit theorems for functionals of ergodic Markov chains with general state space
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Maximum likelihood drift estimation for multiscale diffusions
- Title not available (Why is that?)
- Maximal inequalities for the Ornstein-Uhlenbeck process
- Parameter estimation for multiscale diffusions
- Adaptive sub-sampling for parametric estimation of Gaussian diffusions
- Sub-sampling and parametric estimation for multiscale dynamics
- Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process
- Product-form stationary distributions for deficiency zero chemical reaction networks
- Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise
- Estimation of diffusion parameters in diffusion processes and their asymptotic normality
- Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing
Cited In (7)
- Diffusion parameter estimation for the homogenized equation
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Coarse-grained modeling of multiscale diffusions: the \(p\)-variation estimates
- Filtering the Maximum Likelihood for Multiscale Problems
- Maximum likelihood drift estimation for multiscale diffusions
- Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process
- Malliavin-based multilevel Monte Carlo estimators for densities of max-stable processes
This page was built for publication: Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5086447)
