pith. sign in

arxiv: 1509.03163 · v1 · pith:NAYZV6OEnew · submitted 2015-09-10 · 🧮 math.ST · stat.TH

Estimating Drift Parameters in a Fractional Ornstein Uhlenbeck Process with Periodic Mean

classification 🧮 math.ST stat.TH
keywords fractionalmeanornsteinperiodicprocessuhlenbeckdriftestimator
0
0 comments X
read the original 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 $H$, namely $n^{1-H}$.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.