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 long range dependence periodic mean function least squares estimator |
URI: | http://hdl.handle.net/2003/34260 http://dx.doi.org/10.17877/DE290R-16337 |
Issue Date: | 2015-09-09 |
Appears in Collections: | Preprints der Fakultät für Mathematik |
Files in This Item:
File | Description | Size | Format | |
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Preprint 2015-10.pdf | DNB | 451.7 kB | Adobe PDF | View/Open |
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