Estimation of all parameters in the fractional Ornstein–Uhlenbeck model under discrete observations
Sign Up to like & getrecommendations! Published in 2020 at "Statistical Inference for Stochastic Processes"
DOI: 10.1007/s11203-020-09235-z
Abstract: Let the Ornstein–Uhlenbeck process $$(X_t)_{t\ge 0}$$ ( X t ) t ≥ 0 driven by a fractional Brownian motion $$B^{H }$$ B H described by $$dX_t = -\theta X_t dt + \sigma dB_t^{H }$$ d… read more here.
Keywords: estimation parameters; ornstein uhlenbeck; fractional ornstein; parameters fractional ... See more keywords
Volatility estimation in fractional Ornstein-Uhlenbeck models
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DOI: 10.1080/15326349.2019.1692668
Abstract: Abstract In this article, we study the asymptotic behavior of the realized quadratic variation of a process where u is a β-Hölder continuous process with and where and BH is a fractional Brownian motion with… read more here.
Keywords: models volatility; volatility; estimation fractional; volatility estimation ... See more keywords
Regularized fractional Ornstein-Uhlenbeck processes and their relevance to the modeling of fluid turbulence.
Sign Up to like & getrecommendations! Published in 2017 at "Physical Review E"
DOI: 10.1103/physreve.96.033111
Abstract: Motivated by the modeling of the temporal structure of the velocity field in a highly turbulent flow, we propose and study a linear stochastic differential equation that involves the ingredients of an Ornstein-Uhlenbeck process, supplemented… read more here.
Keywords: uhlenbeck processes; relevance modeling; ornstein uhlenbeck; fractional ornstein ... See more keywords