Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind
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DOI: 10.1007/s11203-014-9111-8
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References listed on IDEAS
- Nualart, D. & Ortiz-Latorre, S., 2008. "Central limit theorems for multiple stochastic integrals and Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 118(4), pages 614-628, April.
- Jean-François Coeurjolly, 2001. "Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths," Statistical Inference for Stochastic Processes, Springer, vol. 4(2), pages 199-227, May.
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Cited by:
- Es-Sebaiy, Khalifa & Viens, Frederi G., 2019. "Optimal rates for parameter estimation of stationary Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3018-3054.
- Tommi Sottinen & Lauri Viitasaari, 2018. "Parameter estimation for the Langevin equation with stationary-increment Gaussian noise," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 569-601, October.
- Marko Voutilainen & Lauri Viitasaari & Pauliina Ilmonen & Soledad Torres & Ciprian Tudor, 2022. "Vector‐valued generalized Ornstein–Uhlenbeck processes: Properties and parameter estimation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 992-1022, September.
- Pavel Kříž & Leszek Szała, 2020. "Least-Squares Estimators of Drift Parameter for Discretely Observed Fractional Ornstein–Uhlenbeck Processes," Mathematics, MDPI, vol. 8(5), pages 1-20, May.
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More about this item
Keywords
Fractional Ornstein–Uhlenbeck processes; Malliavin calculus; Multiple Wiener integrals; Central limit theorem (CLT); Parameter estimation; 60G22; 60H07; 62F99;All these keywords.
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