Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean

Herold Dehling; Brice Franke; Jeannette H. C. Woerner

doi:10.1007/s11203-016-9136-2

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Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean

Herold Dehling Brice Franke Jeannette H. C. Woerner

Year: 2016 Journal: Statistical Inference for Stochastic Processes Vol: 20 (1)Pages: 1-14 Publisher: Springer Science+Business Media

DOI: 10.1007/s11203-016-9136-2

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Keywords:

Ornstein–Uhlenbeck process Mathematics Hurst exponent Estimator Strong consistency Fractional Brownian motion Consistency (knowledge bases) Asymptotic distribution Applied mathematics Mathematical analysis Statistical physics Statistics Stochastic process Brownian motion Physics

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Financial Risk and Volatility Modeling

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Complex Systems and Time Series Analysis

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Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean

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