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Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
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Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation (2015)Parameter estimations for the sub-fractio…Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk (2013)Maximum likelihood estimator …Estimators for the Drift of Subfractional Brownian Motion (2013)Estimators for the Drift of S…Parametric estimation for sub-fractional Ornstein–Uhlenbeck process (2012)Parametric estimation for sub…EXACT MAXIMUM LIKELIHOOD ESTIMATOR FOR DRIFT FRACTIONAL BROWNIAN MOTION AT DISCRETE OBSERVATION (2011)EXACT MAXIMUM LIKELIHOOD ESTI…Exact maximum likelihood estimator for drift fractional Brownian motion at discrete observation (2011)Exact maximum likelihood esti…Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Parameter estimation for frac…Stein’s method and exact Berry–Esseen asymptotics for functionals of Gaussian fields (2009)Stein’s method and exact Berr…Central limit theorems for multiple stochastic integrals and Malliavin calculus (2007)Central limit theorems for mu…Long‐Memory Time Series (2006)Long‐Memory Time SeriesStochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Multiple Wiener Integral (1951)Central limit theorems for sequences of multiple stochastic integrals (2005)The Malliavin Calculus and Related Topics (2006)Stein’s method and Normal approximation of Poisson functionals (2010)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)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)Statistical inference for diffusion type processes (1999)Fractional Brownian motion, random walks and binary market models (2001)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)On some maximal and integral inequalities for sub-fractional Brownian motion (2016)Least squares estimation for the drift parameters in the sub-fractional Vasicek processes (2018)A series expansion of fractional Brownian motion (2004)Some properties of the sub-fractional Brownian motion (2006)On the Wiener integral with respect to a sub-fractional Brownian motion on an interval (2008)Statistics for Long-Memory Processes. (1996)Parameter identification for the discretely observed geometric fractional Brownian motion (2013)Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets (2020)Stein’s method on Wiener chaos (2008)Cumulants on the Wiener space (2009)Second order Poincaré inequalities and CLTs on Wiener space (2009)The optimal fourth moment theorem (2015)Fractional Brownian Motions, Fractional Noises and Applications (1968)The Malliavin Calculus and Related Topics (1995)Differential equations driven by fractional Brownian motion (2002)Stochastic evolution equations with fractional Brownian motion (2003)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index H ∈ (0, 12) (2015)Modelling Nonlinear Economic Time Series (2010)Understanding collective crowd behaviors: Learning a Mixture model of Dynamic pedestrian-Agents (2012)Learning Collective Crowd Behaviors with Dynamic Pedestrian-Agents (2014)
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References

  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 2006Long‐Memory Time Series341 cited
  • 2010Parameter estimation for fractional Ornstein–Uhlenbeck processes299 cited
  • 2007Central limit theorems for multiple stochastic integrals and Malliavin calculus221 cited
  • 2009Stein’s method and exact Berry–Esseen asymptotics for functionals of Gaussian fields96 cited
  • 2011Exact maximum likelihood estimator for drift fractional Brownian motion at discrete observation49 cited
  • 2012Parametric estimation for sub-fractional Ornstein–Uhlenbeck process47 cited
  • 2011EXACT MAXIMUM LIKELIHOOD ESTIMATOR FOR DRIFT FRACTIONAL BROWNIAN MOTION AT DISCRETE OBSERVATION26 cited
  • 2013Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk24 cited
  • 2013Estimators for the Drift of Subfractional Brownian Motion20 cited

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