Parameter estimation for fractional Ornstein-Uhlenbeck processes
Abstract
Description
We study a least squares estimator $\hat θ_T$ for the Ornstein-Uhlenbeck process, $dX_t=θX_t dt+σdB^H_t$, driven by fractional Brownian motion $B^H$ with Hurst parameter $H\ge \frac12$. We prove the strong consistence of $\hat θ_T$ (the almost surely convergence of $\hat θ_T$ to the true parameter ${% θ}$). We also obtain the rate of this convergence when $1/2\le H<3/4$, applying a central limit theorem for multiple Wiener integrals. This least squares estimator can be used to study other more simulation friendly estimators such as the estimator $\tilde θ_T$ defined by (4.1).