On drift estimation for non-ergodic fractional Ornstein-Uhlenbeck process with discrete observations

DOI10.16929/as/2014.615.57zbMath1329.60103OpenAlexW1568801385MaRDI QIDQ485967

Khalifa Es-Sebaiy, Djibril Ndiaye

Publication date: 14 January 2015

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.as/1418310397

zbMATH Keywords

discrete observationsstrong consistencynon-ergodicityfractional Ornstein-Uhlenbeck processdrift estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15)

Related Items (6)

Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes ⋮ Parameter estimation for certain nonstationary processes driven by α-stable motions ⋮ Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean ⋮ Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) ⋮ Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion

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