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

Qian Yu ()
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Qian Yu: East China Normal University

Statistical Papers, 2021, vol. 62, issue 2, No 11, 795-815

Abstract: 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}

Keywords: Ornstein–Uhlenbeck processes; Fractional Brownian motion; Least squares estimator; Asymptotic distribution; 60G22; 65C30; 93E24 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s00362-019-01113-y

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