Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes

Yicun Li; Yuanyang Teng

doi:10.1016/j.chaos.2023.114203

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Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes

Yicun Li Yuanyang Teng

Year: 2023 Journal: Chaos Solitons & Fractals Vol: 177 Pages: 114203-114203 Publisher: Elsevier BV

DOI: 10.1016/j.chaos.2023.114203

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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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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

Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes

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