搜索结果: 1-7 共查到“统计学 Ornstein-Uhlenbeck processes”相关记录7条 . 查询时间(0.086 秒)
On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
Reflected fractional Ornstein-Uhlenbeck processes fractional Brownian motion frac-tional calculus parameter estimation maximum likelihood estimator sequential maximum likeli-hood estimator
2013/4/28
We consider a reflected Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst parameter $H\in(0,1)$. Our goal is to estimate an unknown drift parameter $\alpha\in (-\infty,\inft...
Fractional Lévy-driven Ornstein--Uhlenbeck processes and stochastic differential equations
fractional integral equation fractional Levy process fractional Levy–Ornstein–Uhlenbeck process long-range dependence p-variation Riemann–Stieltjes integration stationary solution to a fractional SDE stochastic diff erential equation
2011/3/18
Using Riemann-Stieltjes methods for integrators of bounded $p$-variation we define a pathwise integral driven by a fractional L\'{e}vy process (FLP). To explicitly solve general fractional stochastic ...
Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
continuous-time GARCH process extreme value theory generalizedOrnstein–Uhlenbeck process integrated generalized Ornstein–Uhlenbeck process
2010/3/10
We consider a positive stationary generalized Ornstein–Uhlenbeck process
Vt = e−tZ t0es− ds + V0 for t 0,and the increments of the integrated generalized Ornstein–Uhlenbeck process...
Equivalence of distrubutions of some Ornstein-Uhlenbeck processes taking values in Hilbert space
Equivalence of distrubutions some Ornstein-Uhlenbeck processes Hilbert space
2009/9/23
Sufficient conditions for equivalence of distributions in
LZ(O,T , H) of two Ornstein-Uhlenbeck processes taking values in
a Hilbert space H are given. The Girsanov theorem and some facts in
the th...
RoSINSKI EASURES FOR TEMPERED STABLE AND RELATED ORNSTEIN-UHLENBECK PROCESSES
Tempered stable distributions Ornstein-Uhlenbeck and Ltvy processes Truncated Lbvy Flights
2009/9/18
Several concrete parametric classes of tempered stable
distributions are discussed in terms of explicit calculations of their
Rosihki measures. The hope is that they will provide a family of
concre...
Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
Ornstein-Uhlenbeck processes stable process drift coefficient matrix estimation consistency asymptotic efficiency
2009/9/16
In this paper, we investigate the consistency and asymptotic efficiency of an estimator of the drift matrix, $F$, of Ornstein-Uhlenbeck processes that are not necessarily stable. We consider all the c...
Parameter estimation for fractional Ornstein-Uhlenbeck processes
Parameter estimation fractional Ornstein-Uhlenbeck processes
2010/3/17
We study a least squares estimator bT for the Ornstein-Uhlenbeck
process, dXt = Xtdt+dBHt , driven by fractional Brownian motion BH
with Hurst parameter H 12 . We prove the strong consistence o...