Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise

DOI10.1080/17442508.2016.1248967zbMath1422.62275arXiv1501.04972OpenAlexW2962726570MaRDI QIDQ2974872

Brahim El Onsy, Khalifa Es-Sebaiy, Frederi G. Viens

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.04972

zbMATH Keywords

Malliavin calculusmultiple integralcentral limit theoremleast squares estimatorfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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