Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation

DOI10.1063/5.0158843zbMATH Open1540.62106MaRDI QIDQ6552811

Marcin Magdziarz, Ralf Metzler, Joanna Janczura

Publication date: 10 June 2024

Published in: Chaos (Search for Journal in Brave)

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stable stochastic processes (60G52)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic representation of subdiffusion processes with time-dependent drift
• Zur kinetischen Theorie der \textit{Brown}schen Molekularbewegung und der Suspensionen.
• Über die von der molekularkinetischen Theorie der Wärme geforderte Bewegung von in ruhenden Flüssigkeiten suspendierten Teilchen.
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Langevin picture of subdiffusion with infinitely divisible waiting times
• Estimation and testing of the Hurst parameter usingp-variation
• Bayesian model selection with fractional Brownian motion
• Path Properties of Subdiffusion—A Martingale Approach
• Simple consistent estimators of stable distribution parameters
• Regression-Type Estimation of the Parameters of Stable Laws
• Bayesian inference of scaled versus fractional Brownian motion
• Boosting the performance of anomalous diffusion classifiers with the proper choice of features
• First Steps in Random Walks
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

Related Items (1)

Power Brownian motion: an Ornstein-Uhlenbeck lookout

This page was built for publication: Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation