JOURNAL ARTICLE

Parameter estimation for fractional Ornstein–Uhlenbeck processes

Yaozhong HuDavid Nualart

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

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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

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