Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet

DOI10.1016/j.jkss.2011.11.003zbMath1296.62049arXiv1109.0933OpenAlexW2089619916MaRDI QIDQ457308

Jorge Clarke De la Cerda, Ciprian A. Tudor

Publication date: 26 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.0933

zbMATH Keywords

parameter estimationstrong consistencymultiple Wiener-Itō integralsfractional Brownian sheet

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Random fields (60G60) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Stochastic integrals (60H05)

Related Items (1)

Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)

Cites Work

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• Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet
• Some linear fractional stochastic equations
• Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets

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