Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
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Publication:646181
DOI10.1016/J.APM.2011.02.047zbMATH Open1225.62116OpenAlexW2095020966MaRDI QIDQ646181FDOQ646181
Weidong Xu, Wei-Lin Xiao, Wei-Guo Zhang
Publication date: 11 November 2011
Published in: Applied Mathematical Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apm.2011.02.047
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Markov processes: estimation; hidden Markov models (62M05) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60)
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Cited In (59)
- Least squares estimation for a class of uncertain Vasicek model and its application to interest rates
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- Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
- Asymptotic properties of non-standard drift parameter estimators in the models involving fractional Brownian motion
- Valuing Option Under Double Heston Jump-Diffusion Model with Stochastic Interest Rate and Approximative Fractional Brownian Motion
- Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
- Parameter estimation for long-memory stochastic volatility at discrete observation
- Asymptotic normality of the estimators for fractional Brownian motions with discrete data
- Berry–Esséen bound for the parameter estimation of fractional Ornstein–Uhlenbeck processes
- Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point
- Parameter estimation by Hellinger type distance for multivariate distributions based upon probability generating functions
- Maximum likelihood estimators of a long-memory process from discrete observations
- 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
- Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion
- Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift
- Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
- 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
- Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
- Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients
- Statistical inference for Vasicek-type model driven by self-similar Gaussian processes
- The fBm-driven Ornstein-Uhlenbeck process: Probability density function and anomalous diffusion
- Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
- 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
- Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion
- Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: Continuous and discrete sampling
- Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- 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
- 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
- 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
- Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion
- Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
- Parameter identification for the discretely observed geometric fractional Brownian motion
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- 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
- Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
- Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes
- 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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