Statistical inference for fractional diffusion processes
From MaRDI portal
fractional Brownian motionfractional Ornstein-Uhlenbeck processmaximum likelihood estimationparametric inference
Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)
Recommendations
- Parameter estimation in fractional diffusion models
- Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
- Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
- Statistical aspects of the fractional stochastic calculus
- Asymptotic inference for stochastic differential equations driven by fractional Brownian motion
Cited in
(only showing first 100 items - show all)- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Parameter estimation in fractional diffusion models
- Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
- Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
- Maximum likelihood estimators of a long-memory process from discrete observations
- Asymptotic normality of the estimators for fractional Brownian motions with discrete data
- On a problem of statistical inference in null recurrent diffusions
- Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean
- Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
- Maximum likelihood estimation for sub-fractional Vasicek model
- Bayesian inference for fractional oscillating Brownian motion
- A general drift estimation procedure for stochastic differential equations with additive fractional noise
- Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process
- Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion
- LAN property for stochastic differential equations with additive fractional noise and continuous time observation
- Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus
- Two-step wavelet-based estimation for Gaussian mixed fractional processes
- Variance estimator for fractional diffusions with variance and drift depending on time
- Bounds on the solution of a Cauchy-type problem involving a weighted sequential fractional derivative
- Science metrics on fractional calculus development since 1966
- Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
- Historical survey: the chronicles of fractional calculus
- Berry-Esseen bounds for the least squares estimator for discretely observed fractional Ornstein-Uhlenbeck processes
- Nonparametric inference for fractional diffusion
- A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
- Parameter estimation in stochastic differential equations.
- Parameter estimation for fractional diffusion process with discrete observations
- Statistical aspects of the fractional stochastic calculus
- Generalized fractional integral operators and the multivariable H-function
- Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
- The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications
- Conditions for singularity for measures generated by two fractional psuedo-diffusion processes
- Repeated confidence intervals and prediction intervals using stochastic curtailment under fractional Brownian motion
- Some maximal inequalities for fractional Brownian motion with polynomial drift
- Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
- 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
- Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
- On some maximal and integral inequalities for sub-fractional Brownian motion
- Optimal estimation of a signal perturbed by a sub-fractional Brownian motion
- Statistical Inference for Student Diffusion Process
- Fluid heterogeneity detection based on the asymptotic distribution of the time-averaged mean squared displacement in single particle tracking experiments
- A Cauchy-type problem involving a weighted sequential derivative in the space of integrable functions
- Some fractional integral formulas for the Mittag-Leffler type function with four parameters
- Local asymptotic normality and estimation via Kalman-Bucy filter for linear systems driven by fractional Brownian motions
- Certain Fractional Integral and Differential Formulas Involving the Extended Incomplete Generalized Hypergeometric Functions
- An identification problem for systems with additive fractional Brownian field
- Statistical estimation of parameters of fractionally stable distributions
- Existence and uniqueness for a problem involving hilfer fractional derivative
- Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process
- Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion
- Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
- Learning interacting particle systems: diffusion parameter estimation for aggregation equations
- Singularity among selfsimilar Gaussian random fields with different scaling parameters and others
- scientific article; zbMATH DE number 6945551 (Why is no real title available?)
- Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion
- Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
- Asymptotic theory for the detection of mixing in anomalous diffusion
- Wavelet analysis for the solution to the wave equation with fractional noise in time and white noise in space
- Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
- Maximum likelihood drift estimation for the mixing of two fractional Brownian motions
- Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise
- Optimal statistical inference for subdiffusion processes
- Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations
- Non symmetric Rosenblatt process over a compact
- Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case
- Moment method estimation of first-order continuous-time bilinear processes
- 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
- Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
- On the wavelet-based simulation of anomalous diffusion
- Parameter identification for the discretely observed geometric fractional Brownian motion
- Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
- Stochastically curtailed tests under fractional Brownian motion
- Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
- Non parametric estimation for fractional diffusion processes with random effects
- Maximal Inequalities for Fractional Brownian Motion: An Overview
- Density estimates and central limit theorem for the functional of fractional SDEs
- Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion
- scientific article; zbMATH DE number 7660132 (Why is no real title available?)
- Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion
- Estimation for misspecification when theoretical model for signal is smooth but real signal is of cusp-type and driven by a fractional Brownian motion
- Parameter estimation for a discrete time model driven by fractional Poisson process
- Limit distribution of the least square estimator with observations sampled at random times driven by standard Brownian motion
- Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
- Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations
- Fractional processes and their statistical inference: an overview
- Asymptotic properties of MLE for partially observed fractional diffusion system
- Nonparametric estimation of trend for SDEs driven by a Gaussian process
- Local linear estimator for fractional diffusions
- Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
- Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
- Nonparametric estimation of linear multiplier in SDEs driven by general Gaussian processes
- Nonparametric estimation for periodic stochastic differential equations driven by fractional G-Brownian motion
- Estimation for a misspecified change point type signal driven by a fractional Brownian motion
- Berry-Esseen bounds for approximate maximum likelihood estimators in the -Brownian bridge
This page was built for publication: Statistical inference for fractional diffusion processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3572048)
