Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spl.2022.109476
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
- 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.
- Alexandre Brouste & Marina Kleptsyna, 2010. "Asymptotic properties of MLE for partially observed fractional diffusion system," Statistical Inference for Stochastic Processes, Springer, vol. 13(1), pages 1-13, April.
- 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.
- 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.
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.- 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.
- 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.
- 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.
- 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.
- 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.
- Herold Dehling & Brice Franke & Jeannette H. C. Woerner, 2017. "Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean," Statistical Inference for Stochastic Processes, Springer, vol. 20(1), pages 1-14, April.
- Fabienne Comte & Nicolas Marie, 2019. "Nonparametric estimation in fractional SDE," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 359-382, October.
- Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012. "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, vol. 29(5), pages 1585-1591.
- Rachid Belfadli & Khalifa Es-Sebaiy & Fatima-Ezzahra Farah, 2022. "Statistical analysis of the non-ergodic fractional Ornstein–Uhlenbeck process with periodic mean," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(7), pages 885-911, October.
- Katsuto Tanaka, 2013. "Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process," Statistical Inference for Stochastic Processes, Springer, vol. 16(3), pages 173-192, October.
- Alexandre Brouste & Stefano Iacus, 2013. "Parameter estimation for the discretely observed fractional Ornstein–Uhlenbeck process and the Yuima R package," Computational Statistics, Springer, vol. 28(4), pages 1529-1547, August.
- Katsuto Tanaka, 2015. "Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process," Statistical Inference for Stochastic Processes, Springer, vol. 18(3), pages 315-332, October.
- Katsuto Tanaka, 2020. "Comparison of the LS-based estimators and the MLE for the fractional Ornstein–Uhlenbeck process," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 415-434, July.
- Alexandre Brouste & Marina Kleptsyna & Alexandre Popier, 2012. "Design for estimation of the drift parameter in fractional diffusion systems," Statistical Inference for Stochastic Processes, Springer, vol. 15(2), pages 133-149, July.
- Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
- Cai, Chunhao & Lv, Wujun, 2020. "Adaptative design for estimation of parameter of second order differential equation in fractional diffusion system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(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.
- Yaozhong Hu & David Nualart & Hongjuan Zhou, 2019. "Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter," Statistical Inference for Stochastic Processes, Springer, vol. 22(1), pages 111-142, April.
- Marie, Nicolas, 2022. "Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 180(C).
More about this item
Keywords
Parameter estimation; Stochastic differential equation; Fractional Brownian motion; Least squares estimator; Asymptotic normality;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:187:y:2022:i:c:s0167715222000657. 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.