Parameter estimation for fractional Ornstein-Uhlenbeck processes

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dc.creatorHu, Yaozhong
dc.creatorNualart, David
dc.date2009-01-30
dc.date.accessioned2026-07-07T12:36:32Z
dc.date.available2026-07-07T12:36:32Z
dc.descriptionWe 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).
dc.identifierhttps://arxiv.org/abs/0901.4925
dc.identifierhttp://arxiv.org/abs/0901.4925
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/218126
dc.subjectProbability
dc.subjectStatistics Theory
dc.subject60Hxx
dc.titleParameter estimation for fractional Ornstein-Uhlenbeck processes
dc.typetext

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