Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
DOI10.1142/S0219493719500187zbMath1419.62212OpenAlexW2883347447MaRDI QIDQ5384783
Shaochen Wang, Hui Jiang, Jun-Feng Liu
Publication date: 25 June 2019
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493719500187
confidence intervalshypothesis testingleast squares estimatormultiple Wiener-Itô integralsmoderate deviation principlefractional Ornstein-Uhlenbeck processdeviation inequalities
Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10)
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