Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process

DOI10.1186/1687-1847-2014-75zbMath1417.34023OpenAlexW2129526598WikidataQ59324165 ScholiaQ59324165MaRDI QIDQ1720210

Qingsong Xu, Liang Shen

Publication date: 8 February 2019

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

Full work available at URL: https://doi.org/10.1186/1687-1847-2014-75

zbMATH Keywords

fractional Brownian motionasymptotic lawfractional Ornstein-Uhlenbeck processminimum \(L^1\)-norm estimator

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) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Fractional ordinary differential equations (34A08)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion
• Design for estimation of the drift parameter in fractional diffusion systems
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• Asymptotic properties of MLE for partially observed fractional diffusion system
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• On minimum \(L_ 1\)-norm estimate of the parameter of the Ornstein- Uhlenbeck process
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical aspects of the fractional stochastic calculus
• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• A General Approach to the Optimality of Minimum Distance Estimators
• The Modelling of Ethernet Data and of Signals that are Heavy‐tailed with Infinite Variance^*
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Temporal Aggregation of Stationary and Non‐stationary Continuous‐Time Processes

This page was built for publication: Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process