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Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
| Content Provider | Semantic Scholar |
|---|---|
| Author | Azmoodeh, Ehsan Viitasaari, Lauri |
| Copyright Year | 2014 |
| Abstract | Fractional Ornstein-Uhlenbeck process of the second kind (fOU2) is a solution of the Langevin equation dXt = −θXt dt+dY (1) t , θ > 0 with a Gaussian driving noise Y (1) t := ∫ t 0 e−s dBas , where at = He t H and B is a fractional Brownian motion with Hurst parameter H ∈ (0, 1). In this article we consider the case H > 12 , and by using the ergodicity of fOU2 process we construct consistent estimators for the drift parameter θ based on discrete observations in two possible cases: (i) the Hurst parameter H is known and (ii) the Hurst parameter H is unknown. Moreover, using Malliavin calculus techniques we prove central limit theorems for our estimators which are valid for the whole range H ∈ ( 12 , 1). |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.researchgate.net/profile/Lauri_Viitasaari/publication/236136674_Parameter_estimation_based_on_discrete_observations_of_fractional_Ornstein-Uhlenbeck_process_of_the_second_kind/links/546bbc960cf2f5eb180924d7.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Brownian motion Calculi Ergodicity Estimation theory Hurst exponent Malliavin calculus Normal Statistical Distribution Population Parameter Severo Ornstein |
| Content Type | Text |
| Resource Type | Article |
