Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter

DOI10.1007/s00362-019-01113-yzbMath1477.62226OpenAlexW2946702051WikidataQ127865809 ScholiaQ127865809MaRDI QIDQ2066524

Qian Yu

Publication date: 14 January 2022

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-019-01113-y

zbMATH Keywords

asymptotic distributionfractional Brownian motionleast squares estimatorOrnstein-Uhlenbeck processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean

Uses Software

• YUIMA

Cites Work

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