Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation

Weilin Xiao; Weiguo Zhang; XU Wei-dong

doi:10.1016/j.apm.2011.02.047

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Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation

Weilin Xiao Weiguo Zhang XU Wei-dong

Year: 2011 Journal: Applied Mathematical Modelling Vol: 35 (9)Pages: 4196-4207 Publisher: Elsevier BV

DOI: 10.1016/j.apm.2011.02.047

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Keywords:

Estimator Fractional Brownian motion Hurst exponent Mathematics Applied mathematics Ornstein–Uhlenbeck process Brownian motion Estimation theory Representation (politics) Stochastic process Mathematical analysis Statistical physics Statistics Physics

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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

Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation

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