Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process

DOI10.1080/15326349.2013.808899zbMath1401.60065OpenAlexW1980641930MaRDI QIDQ2854346

Soledad Torres, Ciprian A. Tudor, Laura L.Ramos

Publication date: 18 October 2013

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/133308

zbMATH Keywords

maximum likelihood estimationfractional Brownian motionBayes estimatorrandom walk

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Bayesian inference (62F15) Sums of independent random variables; random walks (60G50) Self-similar stochastic processes (60G18)

Related Items (3)

Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process ⋮ Parameter estimation for a discrete time model driven by fractional Poisson process ⋮ Clustering of extreme events in time series generated by the fractional Ornstein–Uhlenbeck equation

Cites Work

• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical aspects of the fractional stochastic calculus
• Statistical Inference for Fractional Diffusion Processes
• Entropic aging and extreme value statistics
• Fractional Brownian motion, random walks and binary market models

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