Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
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Publication:2338242
DOI10.1007/s00362-017-0918-4zbMath1435.60027OpenAlexW2614964340MaRDI QIDQ2338242
Publication date: 21 November 2019
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-017-0918-4
Least squares and related methods for stochastic control systems (93E24) Self-similar stochastic processes (60G18) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (7)
Statistical inference for Vasicek-type model driven by self-similar Gaussian processes ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations ⋮ Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process ⋮ Efficient estimation for the volatility of stochastic interest rate models ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
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