Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process
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DOI: 10.1007/s11203-013-9085-y
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References listed on IDEAS
- 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.
- Hu, Yaozhong & Nualart, David, 2010. "Parameter estimation for fractional Ornstein-Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 1030-1038, June.
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Cited by:
- Wang, Xiaohu & Xiao, Weilin & Yu, Jun, 2023. "Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process," Journal of Econometrics, Elsevier, vol. 232(2), pages 389-415.
- Li, Jia & Phillips, Peter C. B. & Shi, Shuping & Yu, Jun, 2022.
"Weak Identification of Long Memory with Implications for Inference,"
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- Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022. "Weak Identification of Long Memory with Implications for Inference," Cowles Foundation Discussion Papers 2334, Cowles Foundation for Research in Economics, Yale University.
- Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
- 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.
- 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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More about this item
Keywords
Fractional Ornstein–Uhlenbeck process; Maximum likelihood estimator; Minimum contrast estimator; Characteristic function; Unit root test; Primary 60H05; 60H35; Secondary 62M10;All these keywords.
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Statistics
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