Comparison of the LS-based estimators and the MLE for the fractional Ornstein–Uhlenbeck process
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11203-020-09215-3.pdf
Reference15 articles.
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2. Belfadli R, Es-Sebaiy K, Ouknine Y (2011) Parameter estimation for fractional Ornstein–Uhlenbeck processes: Non-ergodic case. arXiv:1102.5491
3. Brouste A, Kleptsyna ML (2010) Asymptotic properties of MLE for partially observed fractional diffusion system. Stat Inference Stoch Process 13:1–13
4. Cheridito P, Kawaguchi H, Maejima M (2003) Fractional Ornstein–Uhlenbeck processes. Electron J Probab 8:1–14
5. Davydov Y (1970) The invariance principle for stationary processes. Theory Probab Appl 15: 487–498
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