Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean
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Publication:523443
DOI10.1007/s11203-016-9136-2zbMath1369.62214arXiv1509.03163OpenAlexW2224053729MaRDI QIDQ523443
Brice Franke, Jeannette H. C. Woerner, Herold G. Dehling
Publication date: 21 April 2017
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.03163
least squares estimatorlong range dependencefractional Ornstein Uhlenbeck processperiodic mean function
Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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