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Volumn 78, Issue 8, 2008, Pages 953-962

Large deviations in testing fractional Ornstein-Uhlenbeck models

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EID: 42649125581     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2007.09.055     Document Type: Article
Times cited : (20)

References (16)
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    • A measure of asymptotic efficiency of tests of hypothesis based on sums of observations
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  • 7
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    • Høg, E.P., Frederiksen, P.H., 2006. The fractional Ornstein-Uhlenbeck process: Term structure theory and applications. Scnadinavian Working Papers in Business Administration, No. F-2006-01
    • Høg, E.P., Frederiksen, P.H., 2006. The fractional Ornstein-Uhlenbeck process: Term structure theory and applications. Scnadinavian Working Papers in Business Administration, No. F-2006-01
  • 9
    • 0001187166 scopus 로고
    • Wiener skewline and other interesting curves in Hilbert space
    • Kolmogorov A.N. Wiener skewline and other interesting curves in Hilbert space. Doklady Akademii Nauk 26 (1940) 115-118
    • (1940) Doklady Akademii Nauk , vol.26 , pp. 115-118
    • Kolmogorov, A.N.1
  • 10
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    • Levy, P., 1948. Processus stochastiques et movement Brownien, Paris
    • Levy, P., 1948. Processus stochastiques et movement Brownien, Paris
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    • Large deviation theorems for extended random variables and some applications
    • Linkov Yu.N. Large deviation theorems for extended random variables and some applications. Journal of Mathematical Sciences 93 (1999) 563-573
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    • Linkov, Yu.N.1
  • 14
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    • Fractional Brownian motions, fractional noises and applications
    • Mandelbrot B., and Van Ness J.W. Fractional Brownian motions, fractional noises and applications. SIAM Review 10 (1968) 422-437
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    • Mandelbrot, B.1    Van Ness, J.W.2
  • 15
    • 0001714525 scopus 로고    scopus 로고
    • An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motion
    • Norros I., Valkeila E., and Virtamo J. An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motion. Bernoulli 5 (1999) 571-587
    • (1999) Bernoulli , vol.5 , pp. 571-587
    • Norros, I.1    Valkeila, E.2    Virtamo, J.3
  • 16
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    • Fractional Ornstein-Uhlenbeck Levy processes and the telecom process: Upstairs and downstairs
    • Wolpert R.L., and Taqqu M. Fractional Ornstein-Uhlenbeck Levy processes and the telecom process: Upstairs and downstairs. Signal Processing 85 8 (2005) 1523-1545
    • (2005) Signal Processing , vol.85 , Issue.8 , pp. 1523-1545
    • Wolpert, R.L.1    Taqqu, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.