Parameter identification for the Hermite Ornstein-Uhlenbeck process

DOI10.1007/s11203-020-09219-zzbMath1448.60118OpenAlexW3033402842MaRDI QIDQ2194047

Obayda Assaad, Ciprian A. Tudor

Publication date: 25 August 2020

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-020-09219-z

zbMATH Keywords

parameter estimationasymptotic normalityfractional Brownian motionOrnstein-Uhlenbeck processstrong consistencymultiple Wiener-Itô integralsHermite processHurst index estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Asymptotic normality for a modified quadratic variation of the Hermite process ⋮ Unnamed Item

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