Estimating drift parameters in a fractional Ornstein Uhlenbeck Process with periodic mean

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.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.identifier.uri	http://hdl.handle.net/2003/34263
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-16340
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

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