Representation of stationary and stationary increment processes via Langevin equation and self-similar processes

DOI10.1016/j.spl.2016.03.020zbMath1343.60040arXiv1407.6521OpenAlexW2151626977MaRDI QIDQ286454

Lauri Viitasaari

Publication date: 20 May 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.6521

zbMATH Keywords

Langevin equationself-similar processesstationary processesstationary increment processesLamperti transform

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General theory of stochastic processes (60G07) Self-similar stochastic processes (60G18)

Related Items (4)

AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation ⋮ A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework ⋮ On model Fitting and estimation of strictly stationary processes ⋮ Note on AR(1)-characterisation of stationary processes and model fitting

Uses Software

• YUIMA

Cites Work

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