Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes

DOI10.1080/17442508.2018.1424853MaRDI QIDQ5086447zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

parameter estimationmaximum likelihoodOrnstein-Uhlenbeck processsubsamplingmultiscale diffusions

Mathematics Subject Classification ID

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)

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Cited in

(7)

• Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
• Diffusion parameter estimation for the homogenized equation
• 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

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