Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind

Ehsan Azmoodeh, Lauri Viitasaari

Research output: Contribution to journalArticleScientificpeer-review

23 Citations (Scopus)
Original languageEnglish
Pages (from-to)205-227
JournalStatistical Inference for Stochastic Processes
Volume18
Issue number3
Publication statusPublished - 2015
MoE publication typeA1 Journal article-refereed

Keywords

  • Central limit theorem (CLT)
  • Fractional Ornstein–Uhlenbeck processes
  • Malliavin calculus
  • Multiple Wiener integrals
  • Parameter estimation

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