Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)

DOI10.1214/15-EJS1062zbMath1326.60048arXiv1501.04471MaRDI QIDQ887245

Yuliya S. Mishura, Oleg Seleznjev, Kostiantyn Ralchenko, Kęstutis Kubilius

Publication date: 28 October 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.04471

zbMATH Keywords

discretizationconsistencyfractional Brownian motionLangevin equationhigh-frequency datastrong consistencyshort-range dependencefractional Ornstein-Uhlenbeck processdrift parameter estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Strong limit theorems (60F15) (L^p)-limit theorems (60F25)

Related Items (7)

Forecasting of time data with using fractional Brownian motion ⋮ Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations ⋮ A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations ⋮ Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process ⋮ Clustering of extreme events in time series generated by the fractional Ornstein–Uhlenbeck equation ⋮ Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation ⋮ Maximum likelihood estimation in the non-ergodic fractional Vasicek model

Uses Software

• YUIMA

Cites Work

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