Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet
type: Item
instance of: scholarly article
title: Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet
zbMATH Open document ID: 1296.62049
author: Jorge Clarke De la Cerda
author: Ciprian A. Tudor
published in: Journal of the Korean Statistical Society
publication date: 2014-09-26T00:00:00Z
full work available at URL: https://arxiv.org/abs/1109.0933
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60G60
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 62F12
zbMATH DE Number: 6348532
zbMATH Keywords: fractional Brownian sheet
zbMATH Keywords: parameter estimation
zbMATH Keywords: multiple Wiener-Itō integrals
zbMATH Keywords: strong consistency
MaRDI profile type: Publication
OpenAlex ID: W2089619916
arXiv ID: 1109.0933
cites work: Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets
cites work: Q5465843
cites work: Drift parameter estimation in fractional diffusions driven by perturbed random walks
cites work: Fractional {O}rnstein-{U}hlenbeck processes
cites work: Q3891579
cites work: Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet
cites work: Parameter estimation for fractional Ornstein-Uhlenbeck processes
cites work: A note on the differentiation formula in Stratonovich type for fractional Brownian sheet
cites work: Various types of stochastic integrals with respect to fractional Brownian sheet and their applications
cites work: Stratonovich Calculus with Respect to Fractional Brownian Sheet
cites work: Statistical analysis of the fractional Ornstein--Uhlenbeck type process
cites work: Tail behaviour of multiple random integrals and \(U\)-statistics
cites work: Some linear fractional stochastic equations
cites work: Q4842684
cites work: Central limit theorems for multiple stochastic integrals and Malliavin calculus
cites work: Q5508372
cites work: Parameter estimation for stochastic equations with additive fractional Brownian sheet
cites work: Itô formula and local time for the fractional {B}rownian sheet
cites work: Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator
cites work: Statistical aspects of the fractional stochastic calculus
DOI: 10.1016/J.JKSS.2011.11.003
description: scientific article