Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations

DOI10.1007/s11203-020-09235-zzbMath1471.62452arXiv2004.05096OpenAlexW3119684812MaRDI QIDQ2046296

El Mehdi Haress, Yaozhong Hu

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

zbMATH Keywords

parameter estimationfractional Brownian motionMalliavin calculusergodicitycentral limit theoremNewton methodstationary processesfractional Ornstein-Uhlenbeck

Mathematics Subject Classification ID

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)

Related Items

Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations, Ergodic estimators of double exponential Ornstein-Uhlenbeck processes

Uses Software

• YUIMA

Cites Work

• Ergodic properties of anomalous diffusion processes
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• Parameter estimation in fractional diffusion models
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• A general drift estimation procedure for stochastic differential equations with additive fractional noise
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• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• Statistical aspects of the fractional stochastic calculus
• Analysis on Gaussian Spaces
• Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations
• Estimates for domains of local invertibility of diffeomorphisms
• Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
• Stochastic Calculus for Fractional Brownian Motion and Applications