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

Ehsan Azmoodeh; Lauri Viitasaari

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

Ehsan Azmoodeh
, Lauri Viitasaari

Matematiikan ja systeemianalyysin laitos

Tutkimustuotos: Lehtiartikkeli › Article › Scientific › vertaisarvioitu

31 Sitaatiot (Scopus)

Alkuperäiskieli	Englanti
Sivut	205-227
Julkaisu	Statistical Inference for Stochastic Processes
Vuosikerta	18
Numero	3
Tila	Julkaistu - 2015
OKM-julkaisutyyppi	A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä

Tutkimusalat

Central limit theorem (CLT)
Fractional OrnsteinUhlenbeck processes
Malliavin calculus
Multiple Wiener integrals
Parameter estimation

Muut tiedostot ja linkit

http://dx.doi.org/10.1007/s11203-014-9111-8

Siteeraa tätä

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TY - JOUR

T1 - Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind

AU - Azmoodeh, Ehsan

AU - Viitasaari, Lauri

PY - 2015

Y1 - 2015

KW - Central limit theorem (CLT)

KW - Fractional OrnsteinUhlenbeck processes

KW - Malliavin calculus

KW - Multiple Wiener integrals

KW - Parameter estimation

KW - Central limit theorem (CLT)

KW - Fractional OrnsteinUhlenbeck processes

KW - Malliavin calculus

KW - Multiple Wiener integrals

KW - Parameter estimation

KW - Central limit theorem (CLT)

KW - Fractional OrnsteinUhlenbeck processes

KW - Malliavin calculus

KW - Multiple Wiener integrals

KW - Parameter estimation

UR - http://dx.doi.org/10.1007/s11203-014-9111-8

M3 - Article

SN - 1387-0874

VL - 18

SP - 205

EP - 227

JO - Statistical Inference for Stochastic Processes

JF - Statistical Inference for Stochastic Processes

IS - 3

ER -