Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes

DOI10.1007/s11425-012-4386-yzbMath1274.62567OpenAlexW1993801618MaRDI QIDQ1934446

Wei-Guo Zhang, Xili Zhang, Wei-Lin Xiao

Publication date: 28 January 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-012-4386-y

zbMATH Keywords

asymptotic normalityfractional Brownian motionsOrnstein-Uhlenbeck processstrong consistencyminimum contrast estimator

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (3)

Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process ⋮ On a class of minimum contrast estimators for Gegenbauer random fields ⋮ Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process

Uses Software

• SimEstFBM

Cites Work

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