Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Dehling, Herold | - |
dc.contributor.author | Franke, Brice | - |
dc.contributor.author | Woerner, Jeannette H.C. | - |
dc.date.accessioned | 2015-10-07T13:21:24Z | - |
dc.date.available | 2015-10-07T13:21:24Z | - |
dc.date.issued | 2015 | - |
dc.identifier.uri | http://hdl.handle.net/2003/34263 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-16340 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;34/2015 | en |
dc.subject | fractional Ornstein Uhlenbeck process | en |
dc.subject | least squares estimator | en |
dc.subject | periodic mean function | en |
dc.subject | long range dependence | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Estimating drift parameters in a fractional Ornstein Uhlenbeck Process with periodic mean | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_3415_SFB823_Dehling_Franke_Woerner.pdf | DNB | 329 kB | Adobe PDF | View/Open |
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