JOURNAL ARTICLE

Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes

Yicun LiYuanyang Teng

Year: 2023 Journal:   Chaos Solitons & Fractals Vol: 177 Pages: 114203-114203   Publisher: Elsevier BV
Keywords:
Mathematics Estimator Asymptotic analysis Ornstein–Uhlenbeck process Statistic Applied mathematics Hurst exponent Bernoulli's principle Volatility (finance) Monte Carlo method Asymptotic distribution Stochastic volatility Contrast (vision) Delta method Statistical physics Statistics Stochastic process Econometrics Computer science Physics

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Topics

Stochastic processes and financial applications
Social Sciences →  Economics, Econometrics and Finance →  Finance
Fractional Differential Equations Solutions
Physical Sciences →  Mathematics →  Modeling and Simulation
Financial Risk and Volatility Modeling
Social Sciences →  Economics, Econometrics and Finance →  Finance
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