Asymptotically Efficient Estimation of Ergodic Rough Fractional Ornstein-Uhlenbeck Process under Continuous Observations
Statistics Theory
2022-04-12 v2 Statistics Theory
Abstract
We consider the problem of asymptotically efficient estimation of drift parameters of the ergodic fractional Ornstein-Uhlenbeck process under continuous observations when the Hurst parameter and the mean of its stationary distribution is not equal to zero. In this paper, we derive asymptotically efficient rates and variances of estimators of drift parameters and prove an asymptotic efficiency of a maximum likelihood estimator of drift parameters.
Keywords
Cite
@article{arxiv.2204.03271,
title = {Asymptotically Efficient Estimation of Ergodic Rough Fractional Ornstein-Uhlenbeck Process under Continuous Observations},
author = {Kohei Chiba and Tetsuya Takabatake},
journal= {arXiv preprint arXiv:2204.03271},
year = {2022}
}