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Parameter Estimation for an Ornstein-Uhlenbeck Process Driven by a General Gaussian Noise · Study

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ArticleParameter Estimation for an Ornstein-Uhlenbeck Process Driven by a General Gaussian Noise

Yong Chen2021

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Articlegreen2021

Parameter Estimation for an Ornstein-Uhlenbeck Process Driven by a General Gaussian Noise

Yong Chen · Hongjuan Zhou

19 citations·0/0 files stored·Acta Mathematica Scientia

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Stochastic processes and statistical mechanics

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References

2001Statistics of Random Processes 2005Central limit theorems for sequences of multiple stochastic integrals 1997Quadratic variations and estimation of the local Hölder index of a Gaussian process 2010Parameter estimation for fractional Ornstein–Uhlenbeck processes 2002Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process 2007Statistical aspects of the fractional stochastic calculus 2017Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter 20052005): Statistical Aspects of the fractional stochastic calculus

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Year2021

Typearticle

Published2021-01-29

VenueActa Mathematica Scientia

ISSN-L0252-9602

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10473-021-0218-x

openalex_workW3127744230

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