Variance estimator for fractional diffusions with variance and drift depending on time
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Publication:2346521
DOI10.1214/15-EJS1023zbMath1319.60078OpenAlexW1481792312MaRDI QIDQ2346521
Corinne Berzin, Alain Latour, José Rafael León
Publication date: 2 June 2015
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1432299738
Estimation in multivariate analysis (62H12) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60)
Related Items (3)
Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter ⋮ Conditions for singularity for measures generated by two fractional psuedo-diffusion processes ⋮ Large deviations and Wschebor's theorems
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