JOURNAL ARTICLE
Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
Weilin XiaoWeiguo ZhangXili Zhang
Year: 2012 Journal: Science China Mathematics Vol: 55 (7)Pages: 1497-1511 Publisher: Springer Nature
Keywords:
Mathematics Fractional Brownian motion Contrast (vision) Ornstein–Uhlenbeck process Hurst exponent Estimator Consistency (knowledge bases) Applied mathematics Asymptotic distribution Laplace transform Truncation (statistics) Statistics Mathematical analysis Brownian motion Stochastic process Discrete mathematics Computer science
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1.31
FWCI (Field Weighted Citation Impact)
44
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0.85
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Citation History
Topics
Stochastic processes and financial applications
Social Sciences → Economics, Econometrics and Finance → Finance
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Complex Systems and Time Series Analysis
Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics
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