Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case

DOI10.1080/07362994.2021.1942916zbMath1490.62221arXiv1903.08033OpenAlexW3194769616WikidataQ114100298 ScholiaQ114100298MaRDI QIDQ5085211

Radomyra Shevchenko, Jeannette H. C. Woerner

Publication date: 27 June 2022

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.08033

zbMATH Keywords

least squares estimatorlong range dependencenon-ergodicityfractional Ornstein Uhlenbeck processperiodic mean function

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• On minimum uniform metric estimate of parameters of diffusion-type processes
• Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Hypothesis testing in a fractional Ornstein-Uhlenbeck model
• Drift estimation for a periodic mean reversion process
• Parameter Estimation for α-Fractional Bridges
• Statistical Inference for Fractional Diffusion Processes

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