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ArticleAsymptotic properties of MLE for partially observed fractional diffusion system

Alexandre Brouste‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌2009

Article2009

Asymptotic properties of MLE for partially observed fractional diffusion system

Alexandre Brouste‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌‌ · Marina L'vovna Kleptsyna

55 citations·0/0 files stored·Statistical Inference for Stochastic Processes

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fractional Differential Equations Solutions

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References

1989Theory of Martingales 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions 1997Quadratic variations and estimation of the local Hölder index of a Gaussian process 2002Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process 1998Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion 2006Transformation formulas for fractional Brownian motion 2000Linear estimation of self-similar processes via Lamperti's transformation 2012Parameter estimation for the discretely observed fractional Ornstein–Uhlenbeck process and the Yuima R package

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2011Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process 2013Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process 2014Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process 2016Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean

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Year2009

Typearticle

Published2009-12-18

VenueStatistical Inference for Stochastic Processes

ISSN-L1387-0874

Languageen

Citations55

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11203-009-9035-x

openalex_workW1981565950

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