Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) (Q887245): Difference between revisions
From MaRDI portal
Latest revision as of 00:05, 11 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) |
scientific article |
Statements
Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) (English)
0 references
28 October 2015
0 references
fractional Ornstein-Uhlenbeck process
0 references
fractional Brownian motion
0 references
Langevin equation
0 references
drift parameter estimator
0 references
short-range dependence
0 references
consistency
0 references
strong consistency
0 references
discretization
0 references
high-frequency data
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
