Maximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck process

DOI10.1007/s11203-014-9110-9zbMath1325.60055OpenAlexW2055624606MaRDI QIDQ500869

Katsuto Tanaka

Publication date: 5 October 2015

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

Full work available at URL: https://doi.org/10.1007/s11203-014-9110-9

zbMATH Keywords

numerical integrationfractional Brownian motioncharacteristic functionmaximum likelihood estimatorunit root testfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (11)

Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes ⋮ Parameter estimation for certain nonstationary processes driven by α-stable motions ⋮ Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind ⋮ Statistical inference for Vasicek-type model driven by self-similar Gaussian processes ⋮ Statistical inference for models driven by 𝑛-th order fractional Brownian motion ⋮ Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ Comparison of the LS-based estimators and the MLE for the fractional Ornstein-Uhlenbeck process ⋮ ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL ⋮ Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model ⋮ Maximum likelihood estimation in the non-ergodic fractional Vasicek model

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