SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Minimum $L_1$-norm estimation for fractional Ornstein–Uhlenbeck type process
16 references·0 citing·34 second hop
Minimum $L_1$-norm estimation for fractional Ornstein–Uhlenbeck type process (2005)Minimum $L_1$-norm estimation for fractio…The Long Range Dependence Paradigm for Macroeconomics and Finance (2011)The Long Range Dependence Par…Theory and applications of long-range dependence (2003)Theory and applications of lo…Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion (2003)Parametric estimation for lin…Fractional Ornstein-Uhlenbeck processes (2003)Fractional Ornstein-Uhlenbeck…Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Statistical Analysis of the F…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems (2000)Parameter Estimation and Opti…New York 1987 (2000)New York 1987Integration questions related to fractional Brownian motion (2000)Integration questions related…Statistical inference for diffusion type processes (1999)Statistical inference for dif…On some maximal inequalities for fractional Brownian motions (1999)On some maximal inequalities …An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)An Elementary Approach to a G…Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion (1998)Filtering and parameter estim…On the prediction of fractional Brownian motion (1996)On the prediction of fraction…On minimum L1-norm estimate of the parameter of the Ornstein—Uhlenbeck process (1994)On minimum L1-norm estimate o…Sequential estimation of the parameters of diffusion processes (1972)Sequential estimation of the …Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)2005): Statistical Aspects of the fractional stochastic calculus (2005)Statistical aspects of the fractional stochastic calculus (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with respect to the fractional Brownian motion (2003)Analysis of the Rosenblatt process (2008)Fractional Brownian Motions, Fractional Noises and Applications (1968)A storage model with self-similar input (1994)Statistics for Long-Memory Processes. (1996)Stieltjes Integrals of Hölder Continuous Functions with Applications to Fractional Brownian Motion (2000)OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION (2003)Stochastic Integration and Differential Equations (1990)Out of sample forecasts of quadratic variation (2008)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Continuous Martingales and Brownian Motion (1999)Limit Theorems for Stochastic Processes (2003)Long Range Dependence (2004)The Malliavin Calculus and Related Topics (1995)Differential equations driven by fractional Brownian motion (2002)Stochastic evolution equations with fractional Brownian motion (2003)The Malliavin Calculus and Related Topics (2006)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)One Road to Turnover: An Examination of Work Exhaustion in Technology Professionals1 (2000)Verification, validation, and predictive capability in computational engineering and physics (2004)The epidemiology of eating disorders in six European countries: Results of the ESEMeD-WMH project (2009)Itô′s formula with respect to fractional Brownian motion and its application (1996)Fractional Lévy processes with an application to long memory moving average processes (2006)Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (2007)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Bootstrap for Empirical Multifractal Analysis (2007)Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation. (2010)
this work references cited by second hop

References

  • 2003Theory and applications of long-range dependence989 cited
  • 2000New York 1987842 cited
  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 2003Fractional Ornstein-Uhlenbeck processes418 cited
  • 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions401 cited
  • 2000Integration questions related to fractional Brownian motion357 cited
  • 1999Statistical inference for diffusion type processes307 cited
  • 2002Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process267 cited
  • 1996On the prediction of fractional Brownian motion205 cited
  • 1998Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion97 cited
  • 2011The Long Range Dependence Paradigm for Macroeconomics and Finance90 cited
  • 2000Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems69 cited
  • 2003Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion54 cited
  • 1999On some maximal inequalities for fractional Brownian motions54 cited
  • 1972Sequential estimation of the parameters of diffusion processes

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

38 cited
  • 1994On minimum L1-norm estimate of the parameter of the Ornstein—Uhlenbeck process23 cited
  • Cited by

    No citing works inside the corpus for this window.