Fractional processes and their statistical inference: an overview

DOI10.1007/s41745-021-00271-zOpenAlexW4214511565MaRDI QIDQ6149600

B. L. S. Prakasa Rao

Publication date: 5 March 2024

Published in: Journal of the Indian Institute of Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s41745-021-00271-z

zbMATH Keywords

fractional Brownian motionmixed fractional Brownian motionfractional Lévy processsub-fractional Brownian motionfractional Poisson process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• Mixed Gaussian processes: a filtering approach
• Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process
• The fractional Poisson process and the inverse stable subordinator
• Finite variation of fractional Lévy processes
• Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion
• Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations
• A series expansion of fractional Brownian motion
• On Mittag-Leffler functions and related distributions
• Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion
• A fractional generalization of the Poisson processes
• Beyond the Poisson renewal process: a tutorial survey
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• Parameter estimation for fractional birth and fractional death processes
• On the mixed fractional Brownian motion
• Parameter estimation for fractional Poisson processes
• Spectral representations of infinitely divisible processes
• Integration with respect to fractal functions and stochastic calculus. I
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• Stock market prices and long-range dependence
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Fractional Poisson process
• Arbitrage in fractional Brownian motion models
• Differential equations driven by fractional Brownian motion
• Mixed fractional Brownian motion
• Pricing geometric Asian power options under mixed fractional Brownian motion environment
• Pricing currency options in the mixed fractional Brownian motion
• Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
• Pricing currency option in a mixed fractional Brownian motion with jumps environment
• Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion
• Filtered fractional Poisson processes
• Sub-fractional Brownian motion and its relation to occupation times
• Ergodicity of stochastic differential equations driven by fractional Brownian motion
• Chaos, fractional kinetics, and anomalous transport
• Optimal series representation of fractional Brownian sheets
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Reproducing kernel Hilbert space methods for wide-sense self-similar processes
• Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
• On some maximal inequalities for fractional Brownian motions
• Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
• Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process
• Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk
• Fractional Poisson process time-changed by Lévy subordinator and its inverse
• Nonparametric estimation of the trend for stochastic differential equations driven by small \(\alpha\)-stable noises
• Spherical and hyperbolic fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• A note on Wick products and the fractional Black-Scholes model
• Karhunen-Loève expansion of spherical fractional Brownian motions
• On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
• Fractional Lévy processes with an application to long memory moving average processes
• Stochastic Processes and Long Range Dependence
• Some Maximal Inequalities for Fractional Brownian Motion with Polynomial Drift
• Estimation of change point for switching fractional diffusion processes
• Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes
• Singularity of Subfractional Brownian Motions with Different Hurst Indices
• Mixed stochastic delay differential equations
• On the long-range dependence of fractional Poisson and negative binomial processes
• On some maximal and integral inequalities for sub-fractional Brownian motion
• Optimal estimation of a signal perturbed by a sub-fractional Brownian motion
• Local asymptotic normality and estimation via Kalman-Bucy filter for linear systems driven by fractional Brownian motions
• NONPARAMETRIC ESTIMATION OF LINEAR MULTIPLIER FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL LÉVY PROCESS WITH SMALL NOISE
• Maximal Inequalities for Fractional Lévy and Related Processes
• Statistical Inference for Fractional Diffusion Processes
• Hitting probabilities and the Hausdorff dimension of the inverse images of anisotropic Gaussian random fields
• A strong law of large numbers for local martingales
• Arbitrage with Fractional Brownian Motion
• The absence of arbitrage in a model with fractal Brownian motion
• Linear estimation of self-similar processes via Lamperti's transformation
• Stochastic Analysis of Mixed Fractional Gaussian Processes
• Instrumental variable estimation for a linear stochastic differential equation driven by a mixed fractional Brownian motion
• Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion
• Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion
• Semi-Stable Stochastic Processes
• SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the prediction of fractional Brownian motion
• A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES
• Fractional kinetic equations: solutions and applications
• LARGE DEVIATION PROBABILITIES FOR MAXIMUM LIKELIHOOD ESTIMATOR AND BAYES ESTIMATOR OF A PARAMETER FOR MIXED FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS
• Fractional Processes as Models in Stochastic Finance
• Nonparametric Estimation of Linear Multiplier for Fractional Diffusion Processes
• Parametric estimation for cusp-type signal driven by fractional Brownian motion
• More on maximal inequalities for sub-fractional Brownian motion
• Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
• State-Dependent Fractional Point Processes
• OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS
• Berry-Esseen Type Bound for Fractional Ornstein-Uhlenbeck Type Process Driven by Sub-fractional Brownian Motion
• Estimators for the Drift of Subfractional Brownian Motion
• Maximal Inequalities for Fractional Brownian Motion: An Overview
• Some properties of the sub-fractional Brownian motion
• Singularity of Fractional Brownian Motions with Different Hurst Indices
• Deconvolution of fractional brownian motion
• Estimation of the Location of the Cusp of a Continuous Density
• Fractional Brownian Motions, Fractional Noises and Applications
• Limit theorems for occupation times of Markov processes
• Non-homogeneous space-time fractional Poisson processes
• Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion
• The Frequency Distribution of the Difference Between Two Poisson Variates Belonging to Different Populations
• Stochastic calculus with respect to Gaussian processes
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
• Parameter estimation and optimal filtering for fractional type stochastic systems
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

This page was built for publication: Fractional processes and their statistical inference: an overview