Estimating Drift Parameters in a Fractional Ornstein Uhlenbeck Process with Periodic Mean
Statistics Theory
2015-09-11 v1 Statistics Theory
Abstract
We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck process with periodic mean function and long range dependence. For this estimator we prove consistency and asymptotic normality. In contrast to the classical fractional Ornstein Uhlenbeck process without periodic mean function the rate of convergence is slower depending on the Hurst parameter , namely .
Keywords
Cite
@article{arxiv.1509.03163,
title = {Estimating Drift Parameters in a Fractional Ornstein Uhlenbeck Process with Periodic Mean},
author = {Herold Dehling and Brice Franke and Jeannette H. C. Woerner},
journal= {arXiv preprint arXiv:1509.03163},
year = {2015}
}