Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index H ∈ (0, 12)

Kęstutis Kubilius,Yuliya Mishura,Kostiantyn Ralchenko,Oleg Seleznjev

Electronic Journal of Statistics（2015）

引用 4|浏览1

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摘要

parameter θ and where the noise is modeled as fractional Brownian motionwith Hurst index H ∈ (0, 12 ). The solution corresponds to the fractionalOrnstein–Uhlenbeck process. We construct an estimato ...

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