Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case

DOI10.1142/S0219493720500112zbMath1462.60042OpenAlexW2963022374WikidataQ127435804 ScholiaQ127435804MaRDI QIDQ5222190

Fares Alazemi, Abdulaziz Alsenafi, Khalifa Es-Sebaiy

Publication date: 1 April 2020

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493720500112

zbMATH Keywords

parameter estimationYoung integralfractional Gaussian processesGaussian mean-reverting Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

Related Items (10)

Gaussian and hermite Ornstein–Uhlenbeck processes ⋮ Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency ⋮ Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean ⋮ Kolmogorov bounds in the CLT of the LSE for Gaussian Ornstein Uhlenbeck processes ⋮ Volatility estimation in fractional Ornstein-Uhlenbeck models ⋮ Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes ⋮ Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind ⋮ Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model ⋮ Statistical inference for nonergodic weighted fractional Vasicek models ⋮ Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind

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