Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process

DOI10.1186/s13660-018-1951-0zbMath1498.60153OpenAlexW2908389784WikidataQ60926407 ScholiaQ60926407MaRDI QIDQ2061505

Yunmeng Li, Guang Jun Shen, Zhenlong Gao

Publication date: 15 December 2021

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-018-1951-0

zbMATH Keywords

consistencylimit distributionasymptotic lawfractional Lévy processminimum \(L_1\)-norm estimationminimum Skorohod distance estimation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ Fractional processes and their statistical inference: an overview ⋮ Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise

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