Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion

DOI10.1186/s13662-017-1420-yzbMath1444.60029OpenAlexW2769402032WikidataQ59527309 ScholiaQ59527309MaRDI QIDQ1710139

Panhong Cheng, Qin Chen, Guang Jun Shen

Publication date: 15 January 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-017-1420-y

zbMATH Keywords

parameter estimationOrnstein-Uhlenbeck processdiscrete observationsweighted fractional Brownian motion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Self-similar stochastic processes (60G18)

Related Items (3)

Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets

Cites Work

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