Parameter estimation for a discrete time model driven by fractional Poisson process

Héctor Araya, Natalia Bahamonde, Tania Roa and Soledad Torres

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 10, 3452-3477

Abstract: In this article, we study the parametric problem of estimating the coefficient for a discrete time model driven by a fractional Poisson noise, when high-frequency observations are given. We consider weighted least squares and maximum likelihood estimators. Thus, asymptotic behavior of the estimators is proved and a simulation study is shown to illustrate our results.

Date: 2023
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DOI: 10.1080/03610926.2021.1973504

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