Hypothesis testing in a fractional Ornstein-Uhlenbeck model (Q1929673): Difference between revisions
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English | Hypothesis testing in a fractional Ornstein-Uhlenbeck model |
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Hypothesis testing in a fractional Ornstein-Uhlenbeck model (English)
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9 January 2013
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Summary: Consider an Ornstein-Uhlenbeck process driven by a fractional Brownian motion. It is an interesting problem to find criteria for whether the process is stable or has a unit root, given a finite sample of observations. Recently, various asymptotic distributions for estimators of the drift parameter have been developed. We illustrate through computer simulations and through a Stein's bound that these asymptotic distributions are inadequate approximations of the finite-sample distribution for moderate values of the drift and the sample size. We propose a new model to obtain asymptotic distributions near zero and compute the limiting distribution. We show applications to regression analysis and obtain hypothesis tests and their asymptotic power.
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Ornstein-Uhlenbeck process
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fractional Brownian motion
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Stein's bound
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