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Article: On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
Title | On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes |
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Authors | |
Keywords | fractional Brownian motion fractional calculus maximum likelihood estimator parameter estimation Reflected fractional Ornstein–Uhlenbeck processes sequential maximum likelihood estimator |
Issue Date | 2016 |
Publisher | Taylor & Francis Ltd. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/17442508.asp |
Citation | Stochastics, 2016, v. 88 n. 5, p. 751-778 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/229218 |
ISSN | 2021 Impact Factor: 1.000 2020 SCImago Journal Rankings: 0.522 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Lee, C | - |
dc.contributor.author | Song, J | - |
dc.date.accessioned | 2016-08-23T14:09:43Z | - |
dc.date.available | 2016-08-23T14:09:43Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Stochastics, 2016, v. 88 n. 5, p. 751-778 | - |
dc.identifier.issn | 1744-2508 | - |
dc.identifier.uri | http://hdl.handle.net/10722/229218 | - |
dc.language | eng | - |
dc.publisher | Taylor & Francis Ltd. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/17442508.asp | - |
dc.relation.ispartof | Stochastics | - |
dc.rights | This is an electronic version of an article published in Stochastics, 2016, v. 88 n. 5, p. 751-778. Stochastics is available online at: https://www.tandfonline.com/doi/full/10.1080/17442508.2016.1143472 | - |
dc.subject | fractional Brownian motion | - |
dc.subject | fractional calculus | - |
dc.subject | maximum likelihood estimator | - |
dc.subject | parameter estimation | - |
dc.subject | Reflected fractional Ornstein–Uhlenbeck processes | - |
dc.subject | sequential maximum likelihood estimator | - |
dc.title | On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes | - |
dc.type | Article | - |
dc.identifier.email | Song, J: txjsong@hku.hk | - |
dc.identifier.authority | Song, J=rp01700 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1080/17442508.2016.1143472 | - |
dc.identifier.scopus | eid_2-s2.0-84958522964 | - |
dc.identifier.hkuros | 260486 | - |
dc.identifier.volume | 88 | - |
dc.identifier.issue | 5 | - |
dc.identifier.spage | 751 | - |
dc.identifier.epage | 778 | - |
dc.identifier.isi | WOS:000374174500006 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.issnl | 1744-2508 | - |