Hypothesis testing in a fractional Ornstein-Uhlenbeck model

DOI10.1155/2012/268568zbMath1398.62216OpenAlexW2170081386WikidataQ58689559 ScholiaQ58689559MaRDI QIDQ1929673

Michael Moers

Publication date: 9 January 2013

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/268568

zbMATH Keywords

fractional Brownian motionOrnstein-Uhlenbeck processStein's bound

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items

Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case ⋮ Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process

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