Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
From MaRDI portal
(Redirected from Publication:5384783)
Recommendations
- On parameter estimation of fractional Ornstein-Uhlenbeck process
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
- Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
- Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion
- Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
- Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
- On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
Cites work
- A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests
- Asymptotic properties of MLE for partially observed fractional diffusion system
- Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises
- ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION
- Berry-esseen bound for the kaplan-meier estimator
- Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Central limit theorems for sequences of multiple stochastic integrals
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- Cramér-type moderate deviation for the maximum of the periodogram with application to simultaneous tests in gene expression time series
- Cumulants on Wiener chaos: moderate deviations and the fourth moment theorem
- Delta method in large deviations and moderate deviations for estimators
- Design for estimation of the drift parameter in fractional diffusion systems
- Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
- Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
- Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the second kind
- Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process
- Examples of moderate deviation principle for diffusion processes
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
- Large deviations for the Ornstein-Uhlenbeck process with shift
- Large deviations for the Ornstein-Uhlenbeck process without tears
- Large deviations in estimation of an Ornstein-Uhlenbeck model
- Large deviations in testing fractional Ornstein-Uhlenbeck models
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Moderate deviations and nonparametric inference for monotone functions
- Normal approximations with Malliavin calculus. From Stein's method to universality
- On a multivariate version of Bernstein's inequality
- On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
- On drift parameter estimation in models with fractional Brownian motion
- On large deviations in testing Ornstein-Uhlenbeck-type models
- Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
- Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- Sharp large deviations for the fractional Ornstein-Uhlenbeck process
- Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
- Sharp Large Deviations for the Ornstein--Uhlenbeck Process
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Statistical aspects of the fractional stochastic calculus
- Statistical inference for SPDEs: an overview
- Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
- Tail behaviour of multiple random integrals and \(U\)-statistics
- The Malliavin Calculus and Related Topics
Cited in
(14)- Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
- Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
- Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
- Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Cramér-type moderate deviations for the likelihood ratio process of Ornstein-Uhlenbeck process with shift
- Deviation inequalities and Cramer-type moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck process of the second kind
- Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
- Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
- Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes
- An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process
- Moderate deviations for the mildly stationary autoregressive model with dependent errors
- Self-normalized Cramér-type moderate deviations for explosive Vasicek model
- Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean
This page was built for publication: Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5384783)
