JOURNAL ARTICLE

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

Herold DehlingBrice FrankeJeannette H. C. Woerner

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

Metrics

26
Cited By
3.23
FWCI (Field Weighted Citation Impact)
17
Refs
0.93
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
Complex Systems and Time Series Analysis
Social Sciences →  Economics, Econometrics and Finance →  Economics and Econometrics

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