Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process

DOI10.1007/s11203-013-9085-yzbMath1283.62175OpenAlexW2086251948MaRDI QIDQ376704

Katsuto Tanaka

Publication date: 19 November 2013

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

Full work available at URL: https://doi.org/10.1007/s11203-013-9085-y

zbMATH Keywords

characteristic functionmaximum likelihood estimatorunit root testminimum contrast estimator

Mathematics Subject Classification ID

Related Items (12)

Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ Statistical inference for Vasicek-type model driven by self-similar Gaussian processes ⋮ Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates ⋮ Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) ⋮ Latent local-to-unity models ⋮ Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ Clustering of extreme events in time series generated by the fractional Ornstein–Uhlenbeck equation ⋮ ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL ⋮ Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process ⋮ Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model ⋮ On parameter estimation of fractional Ornstein-Uhlenbeck process ⋮ Maximum likelihood estimation in the non-ergodic fractional Vasicek model

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• On the prediction of fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian Motions, Fractional Noises and Applications
• Parameter estimation and optimal filtering for fractional type stochastic systems

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