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
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

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