SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On drift estimation for non-ergodic fractional Ornstein-Uhlenbeck process with discrete observations
7 references·1 citing·30 second hop
On drift estimation for non-ergodic fractional Ornstein-Uhlenbeck process with discrete observations (2014)On drift estimation for non-ergodic fract…Parameter Estimation for Fractional Ornstein-Uhlenbeck Processes: Non-ergodic Case (2011)Parameter Estimation for Frac…Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Parameter estimation for frac…Notes on drift estimation for certain non-recurrent diffusion processes from sampled data (2009)Notes on drift estimation for…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Parametric inference for discretely observed non-ergodic diffusions (2006)Parametric inference for disc…Parameter estimation for some non-recurrent solutions of SDE (2003)Parameter estimation for some…Integration questions related to fractional Brownian motion (2000)Integration questions related…Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process (2017)Hypothesis testing of the dri…Central limit theorems for sequences of multiple stochastic integrals (2005)A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise (2013)Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise (2016)Optimal rates for parameter estimation of stationary Gaussian processes (2018)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)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)Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation (2011)Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017)Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process (2021)Maximum likelihood estimation for continuous-time stochastic processes (1976)Estimation of an Ergodic Diffusion from Discrete Observations (1997)Statistical inference for diffusion type processes (1999)Local asymptotic mixed normality for discretely observed non-recurrent Ornstein–Uhlenbeck processes (2010)Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Inference for Stochastic Processes (2010)Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index H ∈ (0, 12) (2015)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Fractional Ornstein-Uhlenbeck processes (2003)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes (2009)Asymptotic Behaviour of the Trajectory Fitting Estimator for Reflected Ornstein–Uhlenbeck Processes (2017)
this work references cited by second hop

References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2000Integration questions related to fractional Brownian motion357 cited
  • 2010Parameter estimation for fractional Ornstein–Uhlenbeck processes299 cited
  • 2011Parameter Estimation for Fractional Ornstein-Uhlenbeck Processes: Non-ergodic Case55 cited
  • 2003Parameter estimation for some non-recurrent solutions of SDE46 cited
  • 2006Parametric inference for discretely observed non-ergodic diffusions32 cited
  • 2009Notes on drift estimation for certain non-recurrent diffusion processes from sampled data23 cited

Cited by

  • 2017Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process19 cited

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