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

DOI10.1007/S11203-023-09300-3MaRDI QIDQ6155088zbMATH OpenOpenAlexFDO

Authors 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

continuous observationsestimation of drift parametersfractional Ornstein-Uhlenbeck processlocal asymptotic normality property

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

Abstract: We consider the problem of asymptotically efficient estimation of drift parameters of the ergodic fractional Ornstein-Uhlenbeck process under continuous observations when the Hurst parameter $H<1/2$ and the mean of its stationary distribution is not equal to zero. In this paper, we derive asymptotically efficient rates and variances of estimators of drift parameters and prove an asymptotic efficiency of a maximum likelihood estimator of drift parameters.

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