Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process
Probability
2018-08-03 v4
Abstract
This paper addresses the problem of estimating drift parameter of the Ornstein - Uhlenbeck type process, driven by the sum of independent standard and fractional Brownian motions. The maximum likelihood estimator is shown to be consistent and asymptotically normal in the large-sample limit, using some recent results on the canonical representation and spectral structure of mixed processes.
Keywords
Cite
@article{arxiv.1507.04194,
title = {Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process},
author = {Pavel Chigansky and Marina Kleptsyna},
journal= {arXiv preprint arXiv:1507.04194},
year = {2018}
}
Comments
to appear in Theory of Probability and its Applications