Least squares estimator of fractional Ornstein Uhlenbeck processes with periodic mean
classification
🧮 math.PR
math.STstat.TH
keywords
fracconsistencymeanperiodicasymptoticcitefractionalnormality
read the original abstract
We first study the drift parameter estimation of the fractional Ornstein-Uhlenbeck process (fOU) with periodic mean for every $\frac{1}{2}<H<1$. More precisely, we extend the consistency proved in \cite{DFW} for $\frac{1}{2}<H<\frac{3}{4}$ to the strong consistency for any $\frac{1}{2}<H<1$ on the one hand, and on the other, we also discuss the asymptotic normality given in \cite{DFW}. In the second main part of the paper, we study the strong consistency and the asymptotic normality of the fOU of the second kind with periodic mean for any $\frac{1}{2}<H<1$.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.