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Least squares estimator of fractional Ornstein–Uhlenbeck processes with periodic mean for general Hurst parameter

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  • Qian Yu

    (East China Normal University)

Abstract

In this paper, we deal with least squares estimator for the drift parameters of the fractional Ornstein–Uhlenbeck process with periodic mean function for all the Hurst parameter range $$H\in (0,1)$$ H ∈ ( 0 , 1 ) . More precisely, we extend the strong consistency proved in Bajja et al. (J Korean Stat Soc 46:608–622, 2017) for $$\frac{1}{2}

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  • Qian Yu, 2021. "Least squares estimator of fractional Ornstein–Uhlenbeck processes with periodic mean for general Hurst parameter," Statistical Papers, Springer, vol. 62(2), pages 795-815, April.
    • Handle: RePEc:spr:stpapr:v:62:y:2021:i:2:d:10.1007_s00362-019-01113-y
    DOI: 10.1007/s00362-019-01113-y
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    References listed on IDEAS

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