Parameter estimation for fractional Ornstein-Uhlenbeck processes

Yaozhong Hu and David Nualart

Statistics & Probability Letters, 2010, vol. 80, issue 11-12, 1030-1038

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

Date: 2010
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