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arxiv: 1609.08199 · v1 · pith:GBTHGH7Cnew · submitted 2016-09-26 · 🧮 math.PR · math.ST· stat.TH

Least squares estimator of fractional Ornstein Uhlenbeck processes with periodic mean

classification 🧮 math.PR math.STstat.TH
keywords fracconsistencymeanperiodicasymptoticcitefractionalnormality
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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 $\frac{1}{2}<H<1$.

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