Asymptotically efficient estimation of ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations

DOI10.1007/S11203-023-09300-3arXiv2204.03271OpenAlexW4388849352MaRDI QIDQ6155088

Kohei Chiba, Tetsuya Takabatake

Publication date: 16 February 2024

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.03271

zbMATH Keywords

fractional Ornstein-Uhlenbeck processlocal asymptotic normality propertyestimation of drift parameterscontinuous observations

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

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