Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise-Reference-Cited by-同舟云学术

Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise

Published:2016-10-27 Issue:2 Volume:89 Page:431-468
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

El Onsy Brahim¹,Es-Sebaiy Khalifa²,G. Viens Frederi³⁴

Affiliation:

1. Faculty of Sciences and Techniques – Marrakech, Cadi Ayyad University, Marrakesh, Morocco.

2. National School of Applied Sciences – Marrakesh, Cadi Ayyad University, Marrakesh, Morocco.

3. Department of Statistics, Purdue University, West Lafayette, IN, USA.

4. Department of Mathematics, Purdue University, West Lafayette, IN, USA.

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2016.1248967

Reference28 articles.

1. Stochastic integration with respect to the fractional Brownian motion

2. Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind

3. Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind

4. L.A.Baraboza Chinchilla, New methods of estimation of long-memory models with an application in climatology, Ph.D. thesis, Purdue University, 2012.

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