Least Squares Type Estimation for Discretely Observed Non-Ergodic Gaussian Ornstein-Uhlenbeck Processes

Khalifa Es-Sebaiy; Fares Alazemi; Mishari Al-Foraih

doi:10.1007/s10473-019-0406-0

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Least Squares Type Estimation for Discretely Observed Non-Ergodic Gaussian Ornstein-Uhlenbeck Processes

Khalifa Es-Sebaiy Fares Alazemi Mishari Al-Foraih

Year: 2019 Journal: Acta Mathematica Scientia Vol: 39 (4)Pages: 989-1002 Publisher: Elsevier BV

DOI: 10.1007/s10473-019-0406-0

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Keywords:

Ornstein–Uhlenbeck process Hurst exponent Ergodic theory Fractional Brownian motion Type (biology) Mathematics Gaussian Combinatorics Gaussian process Estimator Brownian motion Stochastic process Pure mathematics Physics Statistics Quantum mechanics

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Advanced Statistical Process Monitoring

Social Sciences → Decision Sciences → Statistics, Probability and Uncertainty

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Least Squares Type Estimation for Discretely Observed Non-Ergodic Gaussian Ornstein-Uhlenbeck Processes

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