Quantile estimation in fractional Levy Ornstein-Uhlenbeck processes

Q4 Mathematics

Model Assisted Statistics and Applications Pub Date : 2023-12-27 DOI:10.3233/mas-221427

Jaya P.N. Bishwal

引用次数: 0

Abstract

First we study estimation of the drift parameter in the fractional Ornstein-Uhlenbeck process whose marginal distribution is Student t-distribution. We obtain Spearman’s correlation based estimator, quantile estimator and Brownian excursion based estimator of the drift parameter. Then we study method of moments estimator and quantile estimator in fractional inverse Gaussian and fractional gamma Ornstein-Uhlenbeck processes.

查看原文本刊更多论文

分数列维-奥恩斯坦-乌伦贝克过程中的定量估计

首先，我们研究了边际分布为 Student t 分布的分数 Ornstein-Uhlenbeck 过程中漂移参数的估计。我们得到了基于斯皮尔曼相关性的漂移参数估计器、量子估计器和基于布朗偏移的估计器。然后，我们研究了分数反高斯和分数伽马奥恩斯坦-乌伦贝克过程中的矩估计方法和量估计方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Model Assisted Statistics and Applications Mathematics-Applied Mathematics

CiteScore

1.00

自引率

0.00%

发文量

期刊介绍： Model Assisted Statistics and Applications is a peer reviewed international journal. Model Assisted Statistics means an improvement of inference and analysis by use of correlated information, or an underlying theoretical or design model. This might be the design, adjustment, estimation, or analytical phase of statistical project. This information may be survey generated or coming from an independent source. Original papers in the field of sampling theory, econometrics, time-series, design of experiments, and multivariate analysis will be preferred. Papers of both applied and theoretical topics are acceptable.