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Asymptotic properties of MLE for partially observed fractional diffusion system

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  • Alexandre Brouste
  • Marina Kleptsyna

Abstract

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Suggested Citation

  • 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.
    • Handle: RePEc:spr:sistpr:v:13:y:2010:i:1:p:1-13
    DOI: 10.1007/s11203-009-9035-x
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    Citations

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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. Katsuto Tanaka & Weilin Xiao & Jun Yu, 2020. "Maximum Likelihood Estimation for the Fractional Vasicek Model," Econometrics, MDPI, vol. 8(3), pages 1-28, August.
    9. 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.
    10. Nakajima, Shohei & Shimizu, Yasutaka, 2022. "Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions," Statistics & Probability Letters, Elsevier, vol. 187(C).
    11. 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.
    12. 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).
    13. 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.

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