Modelling and parameter estimation for discretely observed fractional iterated Ornstein–Uhlenbeck processes

Juan Kalemkerian

doi:10.1016/j.jspi.2022.11.004

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Modelling and parameter estimation for discretely observed fractional iterated Ornstein–Uhlenbeck processes

Juan Kalemkerian

Year: 2022 Journal: Journal of Statistical Planning and Inference Vol: 225 Pages: 29-51 Publisher: Elsevier BV

DOI: 10.1016/j.jspi.2022.11.004

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Keywords:

Mathematics Autoregressive fractionally integrated moving average Hurst exponent Series (stratigraphy) Ornstein–Uhlenbeck process Estimator Applied mathematics Range (aeronautics) Iterated function Autoregressive–moving-average model Interval (graph theory) Discretization Statistics Autoregressive model Statistical physics Stochastic process Mathematical analysis Combinatorics Econometrics Long memory

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Financial Risk and Volatility Modeling

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Modelling and parameter estimation for discretely observed fractional iterated Ornstein–Uhlenbeck processes

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