Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations
DOI10.1007/s11203-020-09235-zzbMath1471.62452arXiv2004.05096OpenAlexW3119684812MaRDI QIDQ2046296
Publication date: 17 August 2021
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.05096
parameter estimationfractional Brownian motionMalliavin calculusergodicitycentral limit theoremNewton methodstationary processesfractional Ornstein-Uhlenbeck
Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cites Work
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