Minimum Contrast Estimation for Fractional Diffusions

DOI10.1111/j.1467-9469.2004.00410.xzbMath1062.62159OpenAlexW2031500249MaRDI QIDQ4677117

Carenne Ludeña

Publication date: 20 May 2005

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2004.00410.x

zbMATH Keywords

fractional Brownian motionlocal asymptotic mixed normalityfractional diffusionminimum contrast estimationdiscrete time sampling

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes ⋮ Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ Estimation of the Hurst parameter from discrete noisy data ⋮ Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package

Cites Work

• Unnamed Item
• Fractional {O}rnstein-{U}hlenbeck processes
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Stochastic analysis of fractional brownian motions

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