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Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process

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  • M.L. Kleptsyna

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  • A. Le Breton

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Abstract

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Suggested Citation

  • M.L. Kleptsyna & A. Le Breton, 2002. "Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 229-248, October.
  • Handle: RePEc:spr:sistpr:v:5:y:2002:i:3:p:229-248
    DOI: 10.1023/A:1021220818545
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    File URL: http://hdl.handle.net/10.1023/A:1021220818545
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    References listed on IDEAS

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    1. M.L. Kleptsyna & A. Le Breton & M.-C. Roubaud, 2000. "Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 173-182, January.
    2. Alain Breton & Dinh Pham, 1989. "On the bias of the least squares estimator for the first order autoregressive process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 41(3), pages 555-563, September.
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    Citations

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    Cited by:

    1. Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012. "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, vol. 29(5), pages 1585-1591.
    2. Breitung, Jörg & Demetrescu, Matei, 2015. "Instrumental variable and variable addition based inference in predictive regressions," Journal of Econometrics, Elsevier, vol. 187(1), pages 358-375.
    3. Bertin, Karine & Torres, Soledad & Tudor, Ciprian A., 2011. "Drift parameter estimation in fractional diffusions driven by perturbed random walks," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 243-249, February.
    4. Bishwal, Jaya P.N., 2008. "Large deviations in testing fractional Ornstein-Uhlenbeck models," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 953-962, June.
    5. Álvarez-Liébana, Javier & Bosq, Denis & Ruiz-Medina, María D., 2016. "Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 12-22.
    6. Hu, Yaozhong & Nualart, David, 2010. "Parameter estimation for fractional Ornstein-Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 1030-1038, June.
    7. Mishura, Yuliya, 2014. "Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 24-29.
    8. Zhang, Pu & Xiao, Wei-lin & Zhang, Xi-li & Niu, Pan-qiang, 2014. "Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation," Economic Modelling, Elsevier, vol. 36(C), pages 198-203.
    9. Sun, Qi & Xu, Weijun & Xiao, Weilin, 2013. "An empirical estimation for mean-reverting coal prices with long memory," Economic Modelling, Elsevier, vol. 33(C), pages 174-181.

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