Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise

zbMath1375.60098arXiv1701.07568MaRDI QIDQ5369219

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Publication date: 16 October 2017

Full work available at URL: https://arxiv.org/abs/1701.07568

zbMATH Keywords

asymptotic normalityfractional Brownian motionstrong consistencyfractional Ornstein-Uhlenbeck processfourth moment theoremscomplex Wiener-Itô multiple integral

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

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• Linear stochastic systems with constant coefficients. A statistical approach
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Analysis on Gaussian Spaces
• Normal Approximations with Malliavin Calculus
• On the fourth moment theorem for complex multiple Wiener–Itô integrals