Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
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Cites work
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- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
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- Asymptotic properties of MLE for partially observed fractional diffusion system
- Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises
- Estimation of Hurst exponent revisited
- Fractional {O}rnstein-{U}hlenbeck processes
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Long-Term Memory in Stock Market Prices
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- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum likelihood estimation for a road traffic network model
- Optimum step-stress partially accelerated life tests for the truncated logistic distribution with censoring
- Parameter estimation and optimal filtering for fractional type stochastic systems
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Sharp large deviations for the fractional Ornstein-Uhlenbeck process
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Statistical inference for ergodic diffusion processes.
- Stochastic analysis of the fractional Brownian motion
- TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
- The Malliavin Calculus and Related Topics
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Cited in
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- Asymptotic normality of the estimators for fractional Brownian motions with discrete data
- Parameter estimation by Hellinger type distance for multivariate distributions based upon probability generating functions
- Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point
- Maximum likelihood estimators of a long-memory process from discrete observations
- The fBm-driven Ornstein-Uhlenbeck process: probability density function and anomalous diffusion
- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
- Pricing currency options in the mixed fractional Brownian motion
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
- Exploring novel approaches for estimating fractional stochastic processes through practical applications
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
- Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
- Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift
- Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
- Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
- Least squares estimation for a class of uncertain Vasicek model and its application to interest rates
- Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
- The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
- Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
- Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients
- Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
- Statistical inference for Vasicek-type model driven by self-similar Gaussian processes
- Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
- Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
- Calibrating fractional Vasicek model
- On drift parameter estimation in models with fractional Brownian motion
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
- A delayed avian influenza model with avian slaughter: stability analysis and optimal control
- The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean
- Variance estimator for fractional diffusions with variance and drift depending on time
- Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
- Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
- Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
- Efficient hedging currency options in fractional Brownian motion model with jumps
- A general drift estimation procedure for stochastic differential equations with additive fractional noise
- Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises
- LAN property for stochastic differential equations with additive fractional noise and continuous time observation
- Parameter estimation for fractional diffusion process with discrete observations
- Asymptotic properties of non-standard drift parameter estimators in the models involving fractional Brownian motion
- Estimation of change point for switching fractional diffusion processes
- Default probability of American lookback option in a mixed jump-diffusion model
- Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process
- Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean
- Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
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- Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Parameter identification for the discretely observed geometric fractional Brownian motion
- Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
- Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes
- Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes
- Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
- Pricing currency option in a mixed fractional Brownian motion with jumps environment
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
- Stochastic control-oriented modeling of flexible air-breathing hypersonic vehicle
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