Fractional lower order covariance based-estimator for Ornstein-Uhlenbeck process with stable distribution

DOI10.14708/ma.v47i2.6506zbMath1488.62133OpenAlexW2995710476MaRDI QIDQ5135683

Piotr Kruczek, Wojciech Żuławiński, Agnieszka Wyłomańska, Patrycja Pagacz

Publication date: 23 November 2020

Published in: Mathematica Applicanda (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14708/ma.v47i2.6506

zbMATH Keywords

estimationOrnstein-Uhlenbeck processstable distributionFLOC

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

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