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

DOI10.1007/s10473-021-0215-0OpenAlexW3127078533MaRDI QIDQ2154861

Zheng Tang, Qian Yu, Guang Jun Shen

Publication date: 15 July 2022

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10473-021-0215-0

zbMATH Keywords

asymptotic distributionconsistencyleast squares estimatorOrnstein-Uhlenbeck processesHermite processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Markov processes: estimation; hidden Markov models (62M05)

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