JOURNAL ARTICLE
Parameter estimation for fractional Ornstein–Uhlenbeck processes
Year: 2010 Journal: Statistics & Probability Letters Vol: 80 (11-12)Pages: 1030-1038 Publisher: Elsevier BV
Keywords:
Mathematics Ornstein–Uhlenbeck process Estimator Fractional Brownian motion Hurst exponent Applied mathematics Rate of convergence Limit (mathematics) Wiener process Central limit theorem Consistent estimator Weak convergence Brownian motion Mathematical analysis Statistics Stochastic process Minimum-variance unbiased estimator
Metrics
294
Cited By
12.52
FWCI (Field Weighted Citation Impact)
19
Refs
0.99
Citation Normalized Percentile
Is in top 1%
Is in top 10%
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
Statistical Distribution Estimation and Applications
Physical Sciences → Mathematics → Statistics and Probability
Related Documents
BOOK-CHAPTER
Fractional Ornstein–Uhlenbeck Processes, Levy–Ornstein–Uhlenbeck Processes, and Fractional Levy– Ornstein–Uhlenbeck Processes
Year: 2022 Pages: 169-272
JOURNAL ARTICLE
Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter
Yaozhong HuDavid NualartHongjuan Zhou
Journal: Statistical Inference for Stochastic Processes Year: 2017 Vol: 22 (1)Pages: 111-142
JOURNAL ARTICLE
Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation
Weilin XiaoWeiguo ZhangXU Wei-dong
Journal: Applied Mathematical Modelling Year: 2011 Vol: 35 (9)Pages: 4196-4207
JOURNAL ARTICLE
On drift parameter estimation for reflected fractional Ornstein–Uhlenbeck processes
Journal: Stochastics Year: 2016 Vol: 88 (5)Pages: 751-778
BOOK-CHAPTER
Parameter Estimation for Fractional Ornstein–Uhlenbeck Processes with Discrete Observations
Springer proceedings in mathematics & statistics Year: 2013 Pages: 427-442