Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind
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Publication:5263964
DOI10.1080/02331888.2013.863888zbMath1369.62210arXiv1302.6047OpenAlexW2127491466MaRDI QIDQ5263964
José Igor Morlanes, Ehsan Azmoodeh
Publication date: 20 July 2015
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.6047
Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07)
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Cites Work
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Fractional {O}rnstein-{U}hlenbeck processes
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Equivalence of Volterra processes.
- Normal Approximations with Malliavin Calculus
- Stochastic calculus with respect to Gaussian processes
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