Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation
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DOI: 10.1016/j.econmod.2013.09.004
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- Theodore Simos & Mike Tsionas, 2018. "Bayesian inference of the fractional Ornstein–Uhlenbeck process under a flow sampling scheme," Computational Statistics, Springer, vol. 33(4), pages 1687-1713, December.
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Keywords
Fractional Ornstein–Uhlenbeck processes; Quadratic variation; Maximum likelihood estimation; Donsker type approximation; Consistent estimator;All these keywords.
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