Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation

DOI10.1063/5.0158843zbMATH Open1540.62106MaRDI QIDQ6552811FDOQ6552811

Marcin Magdziarz, Ralf Metzler, Joanna Janczura

Publication date: 10 June 2024

Published in: Chaos (Search for Journal in Brave)

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52)

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Cited In (1)

• Power Brownian motion: an Ornstein-Uhlenbeck lookout

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