Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11203-014-9111-8.pdf
Reference20 articles.
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3. Bercu B, Coutin L, Savy N (2011) Sharp large deviations for the fractional Ornstein–Uhlenbeck process. Teor. Veroyatn. Primen., 55(4), pp. 732–771, translation in. Theory Probab Appl 55(4):575–610
4. Brouste A, Iacus SM (2012) Parameter estimation for the discretely observed fractional Ornstein–Uhlenbeck process and the Yuima R package. Comput Stat. doi: 10.1007/s00180-012-0365-6
5. Chavez-Demoulin V, Davison AC (2012) Modelling time series extremes. REVSTAT 10(1):109–133
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