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Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
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Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency (2022)Berry-Esseen bounds of second moment esti…Statistical inference for Vasicek-type model driven by Hermite processes (2018)Statistical inference for Vas…Optimal rates for parameter estimation of stationary Gaussian processes (2018)Optimal rates for parameter e…Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017)Parameter estimation for frac…Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise (2016)Parameter estimation for a pa…Least squares estimator for non-ergodic Ornstein–Uhlenbeck processes driven by Gaussian processes (2016)Least squares estimator for n…The optimal fourth moment theorem (2015)The optimal fourth moment the…Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind (2014)Parameter estimation based on…Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations (2013)Parameter Estimation for Frac…Berry–Esséen bounds for the least squares estimator for discretely observed fractional Ornstein–Uhlenbeck processes (2013)Berry–Esséen bounds for the l…On fractional Ornstein-Uhlenbeck processes (2011)On fractional Ornstein-Uhlenb…Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Parameter estimation for frac…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Central limit theorems for sequences of multiple stochastic integrals (2005)Central limit theorems for se…Gaussian moving averages, semimartingales and option pricing (2003)Gaussian moving averages, sem…Fractional Ornstein-Uhlenbeck processes (2003)Fractional Ornstein-Uhlenbeck…Simulation of Stationary Gaussian Processes in [0, 1]d (1994)Simulation of Stationary Gaus…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fractional Brownian Motion and Applications (2008)The Malliavin Calculus and Related Topics (1995)THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)Malliavin-Stein method for variance-gamma approximation on Wiener space (2015)Generalization of the Nualart–Peccati criterion (2016)Digital simulation of random processes and its applications (1972)Stochastic Simulation (1987)STATISTICS FOR SPATIAL DATA (1992)Model-Based Geostatistics (1998)Estimators of fractal dimension: Assessing the roughness of time series and spatial data (2010)Geostatistical Inference Under Preferential Sampling (2010)Stochastic Integration and Differential Equations (1990)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Integration questions related to fractional Brownian motion (2000)Pricing under rough volatility (2015)Volatility Is Rough (2018)Continuous Martingales and Brownian Motion (1999)Gaussian Limits for Vector-valued Multiple Stochastic Integrals (2004)Stein’s method on Wiener chaos (2008)Quadratic variations and estimation of the local Hölder index of a Gaussian process (1997)ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (2018)Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Processes. (1996)Stochastic Analysis of the Fractional Brownian Motion (1999)Parameter estimation for the discretely observed fractional Ornstein–Uhlenbeck process and the Yuima R package (2012)Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (2017)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Selected Aspects of Fractional Brownian Motion (2012)Moderate Deviations for Parameter Estimation in the Fractional Ornstein-Uhlenbeck Processes with Periodic Mean (2023)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)Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation (2011)Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process (2021)
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References

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  • 2014Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind

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43 cited
  • 2013Berry–Esséen bounds for the least squares estimator for discretely observed fractional Ornstein–Uhlenbeck processes39 cited
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