Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process

DOI10.1016/j.bulsci.2013.04.008zbMath1281.62176OpenAlexW2037918761MaRDI QIDQ390509

Ciprian A. Tudor, Bohdan Maslowski

Publication date: 8 January 2014

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.bulsci.2013.04.008

zbMATH Keywords

asymptotic normalityfractional Brownian motionMalliavin calculusstrong consistencymultiple Wiener-Itô integralsstochastic evolution equations

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (9)

Pathwise least-squares estimator for linear SPDEs with additive fractional noise ⋮ Maximum likelihood estimation for multiscale Ornstein–Uhlenbeck processes ⋮ Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations ⋮ Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind ⋮ A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations ⋮ Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process ⋮ Nonparametric estimation for linear SPDEs from local measurements ⋮ Parameter estimation for stochastic wave equation based on observation window ⋮ Parameter estimation for stochastic partial differential equations of second order

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