Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean

DOI10.1007/s11203-019-09200-5zbMath1434.60167arXiv1903.02376OpenAlexW2918838215WikidataQ127636994 ScholiaQ127636994MaRDI QIDQ1984653

Radomyra Shevchenko, Ciprian A. Tudor

Publication date: 7 April 2020

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.02376

zbMATH Keywords

parameter estimationasymptotic normalityMalliavin calculusOrnstein-Uhlenbeck processRosenblatt processleast squares estimatorstrong consistencymultiple Wiener-Itô integralsperiodic mean function

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (3)

A stochastic calculus for Rosenblatt processes ⋮ The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean ⋮ Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean

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