Fractional processes and their statistical inference: an overview
From MaRDI portal
(Redirected from Fractional processes and their statistical inference: an overview)
Recommendations
- Statistical inference for fractional diffusion processes
- Self-similar processes, fractional Brownian motion and statistical inference
- Statistical analysis of the mixed fractional Ornstein-Uhlenbeck process
- Some statistical results of the process driven by mixed fractional Brownian motion
- Some fractional and multifractional Gaussian processes: a brief introduction
Cites work
- A fractional generalization of the Poisson processes
- A note on Wick products and the fractional Black-Scholes model
- A series expansion of fractional Brownian motion
- A strong law of large numbers for local martingales
- A unifying approach to fractional Lévy processes
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Arbitrage in fractional Brownian motion models
- Arbitrage with Fractional Brownian Motion
- Berry-Esseen type bound for fractional Ornstein-Uhlenbeck type process driven by mixed fractional Brownian motion
- Berry-Esseen Type Bound for Fractional Ornstein-Uhlenbeck Type Process Driven by Sub-fractional Brownian Motion
- Beyond the Poisson renewal process: a tutorial survey
- Chaos, fractional kinetics, and anomalous transport
- Deconvolution of fractional brownian motion
- Differential equations driven by fractional Brownian motion
- Ergodicity of stochastic differential equations driven by fractional Brownian motion
- Estimation of change point for switching fractional diffusion processes
- Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes
- Estimation of the Location of the Cusp of a Continuous Density
- Estimators for the Drift of Subfractional Brownian Motion
- Filtered fractional Poisson processes
- Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
- Finite variation of fractional Lévy processes
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional calculus and fractional processes with applications to financial economics. Theory and applications
- Fractional kinetic equations: solutions and applications
- Fractional Lévy processes with an application to long memory moving average processes
- Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations
- Fractional Poisson process
- Fractional Poisson process time-changed by Lévy subordinator and its inverse
- Fractional processes as models in stochastic finance
- Hitting probabilities and the Hausdorff dimension of the inverse images of anisotropic Gaussian random fields
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 438987 (Why is no real title available?)
- scientific article; zbMATH DE number 3174818 (Why is no real title available?)
- scientific article; zbMATH DE number 3862231 (Why is no real title available?)
- scientific article; zbMATH DE number 5502200 (Why is no real title available?)
- scientific article; zbMATH DE number 3976091 (Why is no real title available?)
- scientific article; zbMATH DE number 44889 (Why is no real title available?)
- scientific article; zbMATH DE number 1348627 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 641683 (Why is no real title available?)
- scientific article; zbMATH DE number 1944303 (Why is no real title available?)
- scientific article; zbMATH DE number 1944320 (Why is no real title available?)
- scientific article; zbMATH DE number 1944321 (Why is no real title available?)
- scientific article; zbMATH DE number 1944322 (Why is no real title available?)
- scientific article; zbMATH DE number 1944324 (Why is no real title available?)
- scientific article; zbMATH DE number 6945551 (Why is no real title available?)
- scientific article; zbMATH DE number 3794378 (Why is no real title available?)
- scientific article; zbMATH DE number 2118800 (Why is no real title available?)
- scientific article; zbMATH DE number 2118845 (Why is no real title available?)
- scientific article; zbMATH DE number 2118867 (Why is no real title available?)
- scientific article; zbMATH DE number 806777 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
- Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
- Instrumental variable estimation for a linear stochastic differential equation driven by a mixed fractional Brownian motion
- Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion
- Integration with respect to fractal functions and stochastic calculus. I
- Itô's formula for a sub-fractional Brownian motion
- Karhunen-Loève expansion of spherical fractional Brownian motions
- LARGE DEVIATION PROBABILITIES FOR MAXIMUM LIKELIHOOD ESTIMATOR AND BAYES ESTIMATOR OF A PARAMETER FOR MIXED FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS
- Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process
- Limit theorems for occupation times of Markov processes
- Linear estimation of self-similar processes via Lamperti's transformation
- Local asymptotic normality and estimation via Kalman-Bucy filter for a linear system with signal driven by a fractional Brownian motion and observation driven by a Brownian motion
- Local asymptotic normality and estimation via Kalman-Bucy filter for linear systems driven by fractional Brownian motions
- Maximal Inequalities for Fractional Brownian Motion: An Overview
- Maximal inequalities for fractional Lévy and related processes
- Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk
- Minimum L₁-norm estimation for fractional Ornstein-Uhlenbeck type processes
- Mixed fractional Brownian motion
- Mixed Gaussian processes: a filtering approach
- Mixed stochastic delay differential equations
- More on maximal inequalities for sub-fractional Brownian motion
- Non-homogeneous space-time fractional Poisson processes
- Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
- Nonparametric estimation of linear multiplier for fractional diffusion processes
- Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
- NONPARAMETRIC ESTIMATION OF LINEAR MULTIPLIER FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL LÉVY PROCESS WITH SMALL NOISE
- Nonparametric estimation of the trend for stochastic differential equations driven by small -stable noises
- Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion
- Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion
- Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion
- On Mittag-Leffler functions and related distributions
- On some maximal and integral inequalities for sub-fractional Brownian motion
- On some maximal inequalities for fractional Brownian motions
- On the long-range dependence of fractional Poisson and negative binomial processes
- On the mixed fractional Brownian motion
- On the prediction of fractional Brownian motion
- On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
- Optimal estimation of a signal perturbed by a mixed fractional Brownian motion
- Optimal estimation of a signal perturbed by a sub-fractional Brownian motion
- Optimal series representation of fractional Brownian sheets
- OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS
- Parameter estimation and optimal filtering for fractional type stochastic systems
- Parameter estimation for fractional birth and fractional death processes
- Parameter estimation for fractional Poisson processes
- Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process
- Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion
- Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
- Parametric estimation for cusp-type signal driven by fractional Brownian motion
- Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion
- Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
- Parametric estimation for SDEs with additive sub-fractional Brownian motion
- Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
- Pricing currency option in a mixed fractional Brownian motion with jumps environment
- Pricing currency options in the mixed fractional Brownian motion
- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- Reproducing kernel Hilbert space methods for wide-sense self-similar processes
- Semi-Stable Stochastic Processes
- SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS
- Singularity of Fractional Brownian Motions with Different Hurst Indices
- Singularity of Subfractional Brownian Motions with Different Hurst Indices
- Some aspects of stochastic calculus for the sub-fractional Brownian motion
- Some maximal inequalities for fractional Brownian motion with polynomial drift
- Some properties of the sub-fractional Brownian motion
- Spectral representations of infinitely divisible processes
- Spherical and hyperbolic fractional Brownian motion
- State-dependent fractional point processes
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Statistical inference for fractional diffusion processes
- Stochastic analysis of mixed fractional Gaussian processes
- Stochastic calculus for fractional Brownian motion and related processes.
- Stochastic calculus with respect to Gaussian processes
- Stochastic processes and long range dependence
- Stock market prices and long-range dependence
- Sub-fractional Brownian motion and its relation to occupation times
- The absence of arbitrage in a model with fractal Brownian motion
- The fractional Poisson process and the inverse stable subordinator
- The Frequency Distribution of the Difference Between Two Poisson Variates Belonging to Different Populations
- 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
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6149600)