Parameter identification for fractional Ornstein–Uhlenbeck processes based on discrete observation
Year of publication: |
2014
|
---|---|
Authors: | Zhang, Pu ; Xiao, Wei-lin ; Zhang, Xi-li ; Niu, Pan-qiang |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 36.2014, C, p. 198-203
|
Publisher: |
Elsevier |
Subject: | Fractional Ornstein–Uhlenbeck processes | Quadratic variation | Maximum likelihood estimation | Donsker type approximation | Consistent estimator |
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