Authors: | Dehling, Herold Franke, Brice Woerner, Jeannette H.C. |
Title: | Estimating drift parameters in a fractional Ornstein Uhlenbeck Process with periodic mean |
Language (ISO): | en |
Abstract: | We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck process with periodic mean function and long range dependence. For this estimator we prove consistency and asymptotic normality. In contrast to the classical fractional Ornstein Uhlenbeck process without periodic mean function the rate of conver- gence is slower depending on the Hurst parameter H, namely n1-H. |
Subject Headings: | fractional Ornstein Uhlenbeck process least squares estimator periodic mean function long range dependence |
URI: | http://hdl.handle.net/2003/34263 http://dx.doi.org/10.17877/DE290R-16340 |
Issue Date: | 2015 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_3415_SFB823_Dehling_Franke_Woerner.pdf | DNB | 329 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright
rightsstatements.org