Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
From MaRDI portal
Publication:476364
DOI10.1007/978-3-319-07875-5zbMath1341.62004OpenAlexW4206256679MaRDI QIDQ476364
Corinne Berzin, Alain Latour, José Rafael León
Publication date: 1 December 2014
Published in: Lecture Notes in Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-07875-5
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Brownian motion (60J65)
Related Items (23)
Pathwise least-squares estimator for linear SPDEs with additive fractional noise ⋮ Historical survey: the chronicles of fractional calculus ⋮ On the eigenproblem for Gaussian bridges ⋮ Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion ⋮ The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications ⋮ Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion ⋮ Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations ⋮ On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion ⋮ Calibrating fractional Vasicek model ⋮ The total variation distance between the solutions to stochastic Volterra equations and SDEs with its applications ⋮ A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations ⋮ Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion ⋮ Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point ⋮ Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion ⋮ Conditions for singularity for measures generated by two fractional psuedo-diffusion processes ⋮ On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process ⋮ The rate of convergence of the Hurst index estimate for a stochastic differential equation ⋮ Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model ⋮ Large deviations and Wschebor's theorems ⋮ Maximum likelihood estimation in the non-ergodic fractional Vasicek model ⋮ Difference based estimators and infill statistics ⋮ Variance estimator for fractional diffusions with variance and drift depending on time
This page was built for publication: Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
