Least squares estimation for \(\alpha\)-fractional bridge with discrete observations

DOI10.1155/2014/748376zbMath1474.62302OpenAlexW2032657658WikidataQ59041208 ScholiaQ59041208MaRDI QIDQ1724888

Xiuwei Yin, Guang Jun Shen

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/748376

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Integration questions related to fractional Brownian motion
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Berry-Esseen bounds for the least squares estimator for discretely observed fractional Ornstein-Uhlenbeck processes
• Stochastic calculus for fractional Brownian motion and related processes.
• Statistical aspects of the fractional stochastic calculus
• Parameter Estimation for α-Fractional Bridges
• Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations
• Integral transformations and anticipative calculus for fractional Brownian motions
• The Malliavin Calculus and Related Topics
• α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties
• Stochastic integration with respect to the fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus with respect to Gaussian processes

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