PARAMETER ESTIMATION FOR FRACTIONAL ORNSTEIN-UHLENBECK PROCESSES: NON-ERGODIC CASE

Abstract : We consider the parameter estimation problem for the non-ergodic fractional Ornstein-Uhlenbeck process defined as $dX_t=\theta X_tdt+dB_t,\ t\geq0$, with a parameter $\theta>0$, where $B$ is a fractional Brownian motion of Hurst index $H\in(\frac{1}{2},1)$. We study the consistency and the asymptotic distributions of the least squares estimator $\widehat{\theta}_t$ of $\theta$ based on the observation $\{X_s,\ s\in[0,t]\}$ as $t\rightarrow\infty$.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

Cited literature [14 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00569387
Contributor : Khalifa Es-Sebaiy <>
Submitted on : Sunday, February 27, 2011 - 12:21:12 PM
Last modification on : Friday, April 19, 2019 - 4:20:33 PM
Long-term archiving on : Saturday, May 28, 2011 - 2:16:43 AM

Files

Parameter_estimation_for_non-e...
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00569387, version 1

Collections

Citation

Rachid Belfadli, Khalifa Es-Sebaiy, Youssef Ouknine. PARAMETER ESTIMATION FOR FRACTIONAL ORNSTEIN-UHLENBECK PROCESSES: NON-ERGODIC CASE. 2011. ⟨hal-00569387⟩

Share

Metrics

Record views

267

Files downloads

285