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 | 2015-10-07T12:54:29Z | |
| dc.date.available | 2015-10-07T12:54:29Z | |
| dc.date.issued | 2015-09-09 | |
| 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/2003/34260 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-16337 | |
| dc.language.iso | en | |
| dc.subject | fractional Ornstein Uhlenbeck process | en |
| dc.subject | long range dependence | en |
| dc.subject | periodic mean function | en |
| dc.subject | least squares estimator | en |
| dc.subject.ddc | 610 | |
| dc.title | Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean | en |
| dc.type | Text | de |
| dc.type.publicationtype | preprint | en |
| dcterms.accessRights | open access |