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Parameter estimation for fractional Ornstein-Uhlenbeck processes

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  • Hu, Yaozhong
  • Nualart, David

Abstract

We study a least squares estimator for the Ornstein-Uhlenbeck process, , driven by fractional Brownian motion BH with Hurst parameter . We prove the strong consistence of (the almost surely convergence of to the true parameter [theta]). We also obtain the rate of this convergence when 1/2

Suggested Citation

  • Hu, Yaozhong & Nualart, David, 2010. "Parameter estimation for fractional Ornstein-Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 1030-1038, June.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:11-12:p:1030-1038
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    References listed on IDEAS

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    1. M.L. Kleptsyna & A. Le Breton, 2002. "Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 229-248, October.
    2. Nualart, D. & Ortiz-Latorre, S., 2008. "Central limit theorems for multiple stochastic integrals and Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 118(4), pages 614-628, April.
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