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
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Revision as of 15:31, 13 February 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)
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28 October 2015
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fractional Ornstein-Uhlenbeck process
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fractional Brownian motion
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Langevin equation
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drift parameter estimator
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short-range dependence
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consistency
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strong consistency
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discretization
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high-frequency data
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