Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: Continuous and discrete sampling
2011 ◽
Vol 14
(3)
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AbstractThe paper shows that the distribution of the normalized minimum contrast estimator of the drift parameter in the fractional Ornstein-Uhlenbeck process observed over [0, T] converges to the standard normal distribution with an uniform error rate of the order O(T −1/2) for the case H > 1/2 where H is the Hurst exponent of the fractional Brownian motion driving the Ornstein-Uhlenbeck process. Then based on discrete observations, it introduces several approximate minimum contrast estimators and studies their rate of of weak convergence to normal distribution.
2019 ◽
Vol 64
(3)
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pp. 401-420
2013 ◽
Vol 16
(3)
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pp. 173-192
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2018 ◽
Vol 48
(6)
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pp. 1517-1528
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