A general drift estimation procedure for stochastic differential equations with additive fractional noise
From MaRDI portal
Publication:2180056
DOI10.1214/20-EJS1685zbMath1439.62186arXiv1903.10769OpenAlexW3102412725MaRDI QIDQ2180056
Fabien Panloup, Samy Tindel, Maylis Varvenne
Publication date: 13 May 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.10769
Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Related Items (7)
Pathwise least-squares estimator for linear SPDEs with additive fractional noise ⋮ The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion ⋮ Stochastic heat equation with Burgers term driven by fractional noises with two reflecting walls ⋮ Nonparametric estimation for i.i.d. paths of fractional SDE ⋮ Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion ⋮ Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations ⋮ On local linearization method for stochastic differential equations driven by fractional Brownian motion
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion
- Design for estimation of the drift parameter in fractional diffusion systems
- Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
- Approximation of stationary solutions of Gaussian driven stochastic differential equations
- Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
- Ergodicity of the infinite dimensional fractional Brownian motion
- Maximum likelihood drift estimation for multiscale diffusions
- Sharp adaptive estimation of the drift function for ergodic diffusions
- Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion
- Variations and estimators for self-similarity parameters via Malliavin calculus
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
- Random attractors
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Statistical inference for ergodic diffusion processes.
- Adaptive estimation in diffusion processes.
- Fractional {O}rnstein-{U}hlenbeck processes
- Ergodicity of stochastic differential equations driven by fractional Brownian motion
- Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion.
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- On inference for fractional differential equations
- Concentration inequalities for stochastic differential equations with additive fractional noise
- Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory
- Nonparametric estimation in fractional SDE
- Sharp adaptive drift estimation for ergodic diffusions: the multivariate case
- A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
- Ergodic theory for SDEs with extrinsic memory
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Approximation of stationary solutions to SDEs driven by multiplicative fractional noise
- Statistical aspects of the fractional stochastic calculus
- A CONTINUOUS TIME KRONECKER'S LEMMA AND MARTINGALE CONVERGENCE
- Approximate discrete-time schemes for statistics of diffusion processes
- A simple framework to justify linear response theory
- Statistical Inference for Fractional Diffusion Processes
- A Proof of the Consistency of Maximum Likelihood Estimators of Nonlinear Regression Models with Autocorrelated Errors
- Calculation of the Wasserstein Distance Between Probability Distributions on the Line
- Estimation of an Ergodic Diffusion from Discrete Observations
- Wasserstein Dictionary Learning: Optimal Transport-Based Unsupervised Nonlinear Dictionary Learning
- Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
- Maxima of stochastic processes driven by fractional Brownian motion
- Optimal Transport
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
This page was built for publication: A general drift estimation procedure for stochastic differential equations with additive fractional noise
