Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spl.2021.109244
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Karine Bertin & Nicolas Klutchnikoff & Fabien Panloup & Maylis Varvenne, 2020. "Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 271-300, July.
- Claire Lacour & Pascal Massart & Vincent Rivoirard, 2017. "Estimator Selection: a New Method with Applications to Kernel Density Estimation," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 79(2), pages 298-335, August.
- Andreas Neuenkirch & Samy Tindel, 2014. "A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise," Statistical Inference for Stochastic Processes, Springer, vol. 17(1), pages 99-120, April.
- Fabienne Comte & Nicolas Marie, 2019. "Nonparametric estimation in fractional SDE," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 359-382, October.
- Hu, Yaozhong & Nualart, David, 2010. "Parameter estimation for fractional Ornstein-Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 1030-1038, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Marie, Nicolas, 2020. "Nonparametric estimation of the trend in reflected fractional SDE," Statistics & Probability Letters, Elsevier, vol. 158(C).
- Es-Sebaiy, Khalifa & Viens, Frederi G., 2019. "Optimal rates for parameter estimation of stationary Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3018-3054.
- Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
- Fabienne Comte & Nicolas Marie, 2021. "Nonparametric estimation for I.I.D. paths of fractional SDE," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 669-705, October.
- Liu, Yanghui & Nualart, Eulalia & Tindel, Samy, 2019. "LAN property for stochastic differential equations with additive fractional noise and continuous time observation," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2880-2902.
- Van Ha Hoang & Thanh Mai Pham Ngoc & Vincent Rivoirard & Viet Chi Tran, 2022. "Nonparametric estimation of the fragmentation kernel based on a partial differential equation stationary distribution approximation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 4-43, March.
- Qian Yu, 2021. "Least squares estimator of fractional Ornstein–Uhlenbeck processes with periodic mean for general Hurst parameter," Statistical Papers, Springer, vol. 62(2), pages 795-815, April.
- Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "The Multivariate Fractional Ornstein-Uhlenbeck Process," CEIS Research Paper 581, Tor Vergata University, CEIS, revised 28 Aug 2024.
- Pavel Kříž & Leszek Szała, 2020. "Least-Squares Estimators of Drift Parameter for Discretely Observed Fractional Ornstein–Uhlenbeck Processes," Mathematics, MDPI, vol. 8(5), pages 1-20, May.
- Zhang, Pu & Xiao, Wei-lin & Zhang, Xi-li & Niu, Pan-qiang, 2014. "Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation," Economic Modelling, Elsevier, vol. 36(C), pages 198-203.
- Bondarenko, Valeria & Bondarenko, Victor & Truskovskyi, Kyryl, 2017. "Forecasting of time data with using fractional Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 97(C), pages 44-50.
- Saif Eddin Jabari & Nikolaos M. Freris & Deepthi Mary Dilip, 2020. "Sparse Travel Time Estimation from Streaming Data," Transportation Science, INFORMS, vol. 54(1), pages 1-20, January.
- Pham Ngoc, Thanh Mai, 2019. "Adaptive optimal kernel density estimation for directional data," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 248-267.
- Kohei Chiba, 2020. "An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 319-353, July.
- Katsuto Tanaka & Weilin Xiao & Jun Yu, 2020.
"Maximum Likelihood Estimation for the Fractional Vasicek Model,"
Econometrics, MDPI, vol. 8(3), pages 1-28, August.
- Tanaka, Katsuto & Xiao, Weilin & Yu, Jun, 2019. "Maximum Likelihood Estimation for the Fractional Vasicek Model," Economics and Statistics Working Papers 8-2019, Singapore Management University, School of Economics.
- Hui Jiang & Jingying Zhou, 2023. "An Exponential Nonuniform Berry–Esseen Bound for the Fractional Ornstein–Uhlenbeck Process," Journal of Theoretical Probability, Springer, vol. 36(2), pages 1037-1058, June.
- Xiao, Weilin & Yu, Jun, 2019.
"Asymptotic theory for rough fractional Vasicek models,"
Economics Letters, Elsevier, vol. 177(C), pages 26-29.
- Xiao, Weilin & Yu, Jun, 2018. "Asymptotic Theory for Rough Fractional Vasicek Models," Economics and Statistics Working Papers 7-2018, Singapore Management University, School of Economics.
- Comte, Fabienne & Marie, Nicolas, 2023. "Nonparametric drift estimation from diffusions with correlated Brownian motions," Journal of Multivariate Analysis, Elsevier, vol. 198(C).
- Shuping Shi & Jun Yu & Chen Zhang, 2024. "On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes," Working Papers 202416, University of Macau, Faculty of Business Administration.
- Sun, Qi & Xu, Weijun & Xiao, Weilin, 2013. "An empirical estimation for mean-reverting coal prices with long memory," Economic Modelling, Elsevier, vol. 33(C), pages 174-181.
More about this item
Keywords
Projection estimation; Fractional SDE; Model selection;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:180:y:2022:i:c:s0167715221002066. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.