Minimum $L_1$-norm estimation for fractional Ornstein-Uhlenbeck process driven by a Gaussian process
Probability
2022-08-10 v1
Abstract
We investigate the asymptotic properties of the minimum -norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process driven by a general Gaussian process.
Keywords
Cite
@article{arxiv.2208.04366,
title = {Minimum $L_1$-norm estimation for fractional Ornstein-Uhlenbeck process driven by a Gaussian process},
author = {B. L. S. Prakasa Rao},
journal= {arXiv preprint arXiv:2208.04366},
year = {2022}
}