Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind

DOI10.1214/17-BJPS353zbMath1398.62217MaRDI QIDQ1668046

Khalifa Es-Sebaiy, Brahim El Onsy, Djibril Ndiaye

Publication date: 31 August 2018

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1528444871

zbMATH Keywords

fractional Brownian motiondrift parameter estimationnon-ergodic fractional Ornstein-Uhlenbeck process of the second kind

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes ⋮ Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process ⋮ Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations ⋮ Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process

Cites Work

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• Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind

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