On parameter estimation of fractional Ornstein-Uhlenbeck process

DOI10.1515/ROSE-2022-2079zbMath1499.60112OpenAlexW4281664778WikidataQ114052701 ScholiaQ114052701MaRDI QIDQ2090566

Fatima-Ezzahra Farah

Publication date: 25 October 2022

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2022-2079

zbMATH Keywords

asymptotic normalitystrong consistencyfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
• Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Optimal rates for parameter estimation of stationary Gaussian processes
• Statistical aspects of the fractional stochastic calculus
• Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations
• Normal Approximations with Malliavin Calculus
• The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations

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