Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments
Statistics Theory
2024-01-11 v1 Probability
Statistics Theory
Abstract
We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the consistency and asymptotic normality of this estimator. We also include some simulations and provide numerical observations considering different statistical errors.
Keywords
Cite
@article{arxiv.2401.05114,
title = {Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments},
author = {Hamidreza Maleki Almani and Tommi Sottinen},
journal= {arXiv preprint arXiv:2401.05114},
year = {2024}
}