Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter

DOI10.1007/s11203-017-9168-2zbMath1419.62211arXiv1703.09372OpenAlexW2602937143MaRDI QIDQ2417989

Hongjuan Zhou, David Nualart, Yaozhong Hu

Publication date: 31 May 2019

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

Full work available at URL: https://arxiv.org/abs/1703.09372

zbMATH Keywords

parameter estimationfractional Brownian motioncentral limit theoremfourth-moment theoremfractional Ornstein-Uhlenbeck processnoncentral limit theorem

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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