Parameter identification for the Hermite Ornstein–Uhlenbeck process

Obayda Assaad () and Ciprian A. Tudor ()
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Obayda Assaad: Université de Lille
Ciprian A. Tudor: Université de Lille

Statistical Inference for Stochastic Processes, 2020, vol. 23, issue 2, No 2, 270 pages

Abstract: Abstract By using the analysis on Wiener chaos, we study the behavior of the quadratic variations of the Hermite Ornstein–Uhlenbeck process, which is the solution to the Langevin equation driven by a Hermite process. We apply our results to the identification of the Hurst parameter of the Hermite Ornstein–Uhlenbeck process.

Keywords: Hermite process; Fractional Brownian motion; Parameter estimation; Multiple Wiener–Itô integrals; Strong consistency; Asymptotic normality; Ornstein–Uhlenbeck process; Hurst index estimation; 60H15; 60H07; 60G35 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s11203-020-09219-z

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