Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation

Pu Zhang; Weilin Xiao; Xili Zhang; Panqiang Niu

doi:10.1016/j.econmod.2013.09.004

ScienceGate Book Chapters

JOURNAL ARTICLE

Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation

Pu Zhang Weilin Xiao Xili Zhang Panqiang Niu

Year: 2013 Journal: Economic Modelling Vol: 36 Pages: 198-203 Publisher: Elsevier BV

DOI: 10.1016/j.econmod.2013.09.004

Get Full-Text PDF Get Analytical Report

Keywords:

Ornstein–Uhlenbeck process Estimator Consistency (knowledge bases) Identification (biology) Quadratic equation Mathematics Applied mathematics Range (aeronautics) Econometrics Estimation theory Process (computing) Mathematical optimization Statistical physics Stochastic process Computer science Statistics Physics Engineering

Metrics

Cited By

1.19

FWCI (Field Weighted Citation Impact)

Refs

0.82

Citation Normalized Percentile

Is in top 1%

Is in top 10%

Citation History

Topics

Statistical Distribution Estimation and Applications

Physical Sciences → Mathematics → Statistics and Probability

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation

Metrics

Citation History

Topics

Related Documents

Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation

Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations

Fractional Ornstein–Uhlenbeck Processes, Levy–Ornstein–Uhlenbeck Processes, and Fractional Levy– Ornstein–Uhlenbeck Processes

Parameter estimation for fractional Ornstein–Uhlenbeck processes

Drift parameter estimation for tempered fractional Ornstein–Uhlenbeck processes based on discrete observations