Parameter estimation for the Rosenblatt Ornstein–Uhlenbeck process with periodic mean

Radomyra Shevchenko () and Ciprian A. Tudor ()
Additional contact information
Radomyra Shevchenko: TU Dortmund
Ciprian A. Tudor: CNRS, Université de Lille

Statistical Inference for Stochastic Processes, 2020, vol. 23, issue 1, No 8, 227-247

Abstract: Abstract We study the least squares estimator for the drift parameter of the Langevin stochastic equation driven by the Rosenblatt process. Using the techniques of the Malliavin calculus and the stochastic integration with respect to the Rosenblatt process, we analyze the consistency and the asymptotic distribution of this estimator. We also introduce alternative estimators, which can be simulated, and we study their asymptotic properties.

Keywords: Rosenblatt process; Parameter estimation; Malliavin calculus; Multiple Wiener–Itô integrals; Strong consistency; Asymptotic normality; Ornstein–Uhlenbeck process; Periodic mean function; Least squares estimator; 60H15; 60H07; 60G35 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s11203-019-09200-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sistpr:v:23:y:2020:i:1:d:10.1007_s11203-019-09200-5

Ordering information: This journal article can be ordered from
http://www.springer. ... ty/journal/11203/PS2

DOI: 10.1007/s11203-019-09200-5

Access Statistics for this article

Statistical Inference for Stochastic Processes is currently edited by Denis Bosq, Yury A. Kutoyants and Marc Hallin

More articles in Statistical Inference for Stochastic Processes from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().