Statistical analysis of the mixed fractional Ornstein–Uhlenbeck process

P. Chigansky; M. Kleptsyna

doi:10.1137/S0040585X97T989143

Statistical analysis of the mixed fractional Ornstein–Uhlenbeck process

P. Chigansky, M. Kleptsyna

Department of Statistics

Research output: Contribution to journal › Article › peer-review

10 Scopus citations

Abstract

This paper addresses the problem of estimating the drift parameter of the Ornstein– Uhlenbeck-type process driven by the sum of independent standard and fractional Brownian motions. With the help of some recent results on the canonical representation and spectral structure of mixed processes, the maximum likelihood estimator is shown to be consistent and asymptotically normal in the large-sample limit.

Original language	English
Pages (from-to)	408-425
Number of pages	18
Journal	Theory of Probability and its Applications
Volume	63
Issue number	3
DOIs	https://doi.org/10.1137/S0040585X97T989143
State	Published - 2019

Bibliographical note

Publisher Copyright:
© 2019 Society for Industrial and Applied Mathematics.

Keywords

Fractional Brownian motion
Maximum likelihood estimator
Ornstein
Singularly perturbed integral equation
Uhlenbeck process
Weakly singular integral operator

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KW - Weakly singular integral operator

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Statistical analysis of the mixed fractional Ornstein–Uhlenbeck process

Abstract

Bibliographical note

Keywords

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