Parameter Estimation for the Complex Fractional Ornstein-Uhlenbeck Processes with Hurst parameter H \in (0, 1/2)
Abstract
We study the strong consistency and asymptotic normality of a least squares estimator of the drift coefficient in complex-valued Ornstein-Uhlenbeck processes driven by fractional Brownian motion, extending the results of Chen, Hu, Wang (2017) to the case of Hurst parameter H \in (1/4 , 1/2) and the results of Hu, Nualart, Zhou (2019) to a two-dimensional case. When H \in (0, 1/4], it is found that the integrand of the estimator is not in the domain of the standard divergence operator. To facilitate the proofs, we develop a new inner product formula for functions of bounded variation in the reproducing kernel Hilbert space of fractional Brownian motion with Hurst parameter H \in (0, 1/2). This formula is also applied to obtain the second moments of the so-called {\alpha}-order fractional Brownian motion and the {\alpha}-fractional bridges with the Hurst parameter H \in (0, 1/2).
Cite
@article{arxiv.2406.18004,
title = {Parameter Estimation for the Complex Fractional Ornstein-Uhlenbeck Processes with Hurst parameter H \in (0, 1/2)},
author = {Fares Alazemi and Abdulaziz Alsenafi and Yong Chen and Hongjuan Zhou},
journal= {arXiv preprint arXiv:2406.18004},
year = {2024}
}
Comments
32 pages