Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean

Published:2016-05-05 Issue:1 Volume:20 Page:1-14
ISSN:1387-0874
Container-title:Statistical Inference for Stochastic Processes
language:en
Short-container-title:Stat Inference Stoch Process

Author:

Dehling Herold,Franke Brice,Woerner Jeannette H. C.

Funder

Deutsche Forschungsgemeinschaft

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11203-016-9136-2.pdf

Reference16 articles.

1. Bercu B, Coutin L, Savy N (2011) Sharp large deviations for the fractional Ornstein–Uhlenbeck process. Theory Probab Appl 55:575–610

2. Brouste A, Kleptsyna M (2010) Asymptotic properties of MLE for partially observed fractional diffusion system. Stat Inference Stoch Process 13:1–13

3. Cheridito P, Kawaguchi H, Maejima M (2003) Fractional Ornstein Uhlenbeck process. Electron J Probab 8:1–14

4. Cialenco I, Lototsky SV, Pospisil J (2009) Asymptotic properties of the maximum likelihood estimator for stochastic parabolic equations with additive fractional Brownian motion. Stoch Dyn 9:169–185

5. Dasgupta A, Kallianpur G (1999) Multiple fractional integrals. Probab Theory Relat Fields 115:505–525

Cited by 21 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Moderate Deviations for the Parameter Estimation in the Fractional Ornstein-Uhlenbeck Process with $$H \in (0,{1 \over 2})$$;Acta Mathematicae Applicatae Sinica, English Series;2024-04-19

2. Moderate Deviations for Parameter Estimation in the Fractional Ornstein–Uhlenbeck Processes with Periodic Mean;Acta Mathematica Sinica, English Series;2023-12-08

3. Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes;Infinite Dimensional Analysis, Quantum Probability and Related Topics;2023-04-04

4. Estimating Drift Parameters in a Sub-Fractional Vasicek-Type Process;Entropy;2022-04-24

5. Statistical analysis of the non-ergodic fractional Ornstein–Uhlenbeck process with periodic mean;Metrika;2022-01-24

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3