Parameter estimation of Gaussian stationary processes using the generalized method of moments

DOI10.1214/17-EJS1230zbMath1473.62297arXiv1604.06511OpenAlexW2963283160MaRDI QIDQ521302

Frederi G. Viens, Luis A. Barboza

Publication date: 7 April 2017

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

Full work available at URL: https://arxiv.org/abs/1604.06511

zbMATH Keywords

fractional Brownian motionOrnstein-Uhlenbeck processmethod of moments

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items (15)

Asymptotic normality of simultaneous estimators of cyclic long-memory processes ⋮ AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation ⋮ Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12) ⋮ Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes ⋮ A GMM approach to estimate the roughness of stochastic volatility ⋮ Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations ⋮ A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point ⋮ Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process ⋮ Berry–Esséen bound for the parameter estimation of fractional Ornstein–Uhlenbeck processes ⋮ Statistical inference for Vasicek-type model driven by Hermite processes ⋮ Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift ⋮ Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes

This page was built for publication: Parameter estimation of Gaussian stationary processes using the generalized method of moments