scholarly journals Parameter estimation of Ornstein–Uhlenbeck process generating a stochastic graph

2016 ◽  
Vol 20 (2) ◽  
pp. 211-235 ◽  
Author(s):  
Emmanuel Gobet ◽  
Gustaw Matulewicz
Keyword(s):  
Parameter Estimation ◽  
Uhlenbeck Process ◽  
Ornstein Uhlenbeck Process ◽  
Stochastic Graph

Parameter estimation for a partially observed Ornstein–Uhlenbeck process with long-memory noise

Stochastics ◽  
2016 ◽  
Vol 89 (2) ◽  
pp. 431-468 ◽  
Author(s):  
Brahim El Onsy ◽  
Khalifa Es-Sebaiy ◽  
Frederi G. Viens
Keyword(s):  
Parameter Estimation ◽  
Long Memory ◽  
Uhlenbeck Process ◽  
Partially Observed ◽  
Ornstein Uhlenbeck Process

scholarly journals Berry–Esséen bound for the parameter estimation of fractional Ornstein–Uhlenbeck processes

2019 ◽  
Vol 20 (04) ◽  
pp. 2050023 ◽  
Author(s):  
Yong Chen ◽  
Nenghui Kuang ◽  
Ying Li
Keyword(s):  
Parameter Estimation ◽  
Brownian Motion ◽  
Continuous Time ◽  
Index Formula ◽  
Hurst Index ◽  
Uhlenbeck Process ◽  
Ornstein Uhlenbeck Process ◽  
Time Observation ◽  
Statistical Estimations ◽  
Drift Parameter

For an Ornstein–Uhlenbeck process driven by fractional Brownian motion with Hurst index [Formula: see text], we show the Berry–Esséen bound of the least squares estimator of the drift parameter based on the continuous-time observation. We use an approach based on Malliavin calculus given by Kim and Park [Optimal Berry–Esséen bound for statistical estimations and its application to SPDE, J. Multivariate Anal. 155 (2017) 284–304].

Modeling Copper Prices: Ornstein-Uhlenbeck Process and Jump-Diffusions

2012 ◽  
Vol 461 ◽  
pp. 793-796
Author(s):  
Xi Bing Li ◽  
Yu Xi Hu ◽  
Zhen Zhong Zhang ◽  
Xin Ru Liu
Keyword(s):  
Parameter Estimation ◽  
Moment Method ◽  
Futures Market ◽  
Uhlenbeck Process ◽  
Jump Diffusions ◽  
Ornstein Uhlenbeck Process ◽  
Futures Price ◽  
Generalized Moment

In this paper we focus on parameter estimation of the futures price processes with a Ornstein-Uhlenbeck process and jump-diffusions. We use the generalized moment method to derive the OU process. Afterwards, we fit a jump diffusions model to Copper prices from Shanghai Copper futures market.

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