Estimating drift parameters in a fractional Ornstein Uhlenbeck Process with periodic mean
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Date
2015
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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.
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Keywords
fractional Ornstein Uhlenbeck process, least squares estimator, periodic mean function, long range dependence