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Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
16 references·0 citing·35 second hop
Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process (2018)Self-normalized asymptotic properties for…Statistical inference for SPDEs: an overview (2018)Statistical inference for SPD…Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise (2016)Parameter estimation for a pa…Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind (2014)Parameter estimation based on…On drift parameter estimation in models with fractional Brownian motion (2014)On drift parameter estimation…Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind (2013)Drift parameter estimation fo…Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process (2011)Sharp Large Deviations for th…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…Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift (2009)Deviation inequalities and mo…ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION (2009)ASYMPTOTIC PROPERTIES OF THE …Asymptotic properties of MLE for partially observed fractional diffusion system (2009)Asymptotic properties of MLE …Statistical aspects of the fractional stochastic calculus (2007)Statistical aspects of the fr…Central limit theorems for multiple stochastic integrals and Malliavin calculus (2007)Central limit theorems for mu…Central limit theorems for sequences of multiple stochastic integrals (2005)Central limit theorems for se…Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Statistical Analysis of the F…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017)Theory of Martingales (1989)Quadratic variations and estimation of the local Hölder index of a Gaussian process (1997)Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process (2013)Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process (2014)Multiple Wiener Integral (1951)The Malliavin Calculus and Related Topics (2006)Stein’s method and Normal approximation of Poisson functionals (2010)Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation (2011)Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process (2021)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)Continuous Martingales and Brownian Motion (1999)Gaussian Limits for Vector-valued Multiple Stochastic Integrals (2004)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Least squares estimator for non-ergodic Ornstein–Uhlenbeck processes driven by Gaussian processes (2016)Stochastic Partial Differential Equations (2007)Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)A note on parameter estimation for discretely sampled SPDEs (2019)Volatility estimation for stochastic PDEs using high-frequency observations (2019)High-frequency analysis of parabolic stochastic PDEs (2020)Integration questions related to fractional Brownian motion (2000)Limit Theorems for Stochastic Processes (2003)Quadratic variations for the fractional-colored stochastic heat equation (2014)Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean (2016)Drift estimation for discretely sampled SPDEs (2020)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Stochastic Calculus with Respect to Gaussian Processes (2001)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)
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References

  • 1995The Malliavin Calculus and Related Topics1,657 cited
  • 2005Central limit theorems for sequences of multiple stochastic integrals442 cited
  • 2010Parameter estimation for fractional Ornstein–Uhlenbeck processes299 cited
  • 2002Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process267 cited
  • 2007Central limit theorems for multiple stochastic integrals and Malliavin calculus221 cited
  • 2007Statistical aspects of the fractional stochastic calculus128 cited
  • 2009Stein’s method and exact Berry–Esseen asymptotics for functionals of Gaussian fields96 cited
  • 2018Statistical inference for SPDEs: an overview79 cited
  • 2009ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION70 cited
  • 2009Asymptotic properties of MLE for partially observed fractional diffusion system55 cited
  • 2011Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process52 cited
  • 2014On drift parameter estimation in models with fractional Brownian motion51 cited
  • 2016Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise47 cited
  • 2014Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind43 cited

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  • 2013Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind34 cited
  • 2009Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift29 cited
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