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Drift parameter est...
Abstract
Ämnesord
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- The fractional Ornstein-Uhlenbeck process of the second kind (fOU(2)) is the solution of the Langevin equation with driving noise where B is a fractional Brownian motion with Hurst parameter H(0, 1). In this article, in the case H>1/2, we prove that the least-squares estimator introduced in [Hu Y, Nualart D. Parameter estimation for fractional Ornstein-Uhlenbeck processes. Stat. Probab. Lett. 2010;80(11-12):1030-1038], provides a consistent estimator. Moreover, using central limit theorem for multiple Wiener integrals, we prove asymptotic normality of the estimator valid for the whole range H(1/2, 1).
Ämnesord
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Nyckelord
- fractional Ornstein-Uhlenbeck processes
- Malliavin calculus
- Langevin equation
- least-squares estimator
- 60G22
- 60H07
- 62F12
- Statistics
- statistik
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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