Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise

DOI10.1080/17442508.2016.1248967MaRDI QIDQ2974872zbMATH OpenOpenAlexFDO

Authors Brahim El Onsy, K. Es-Sebaiy, Frederi Viens

Publication date 11 April 2017

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.04972

zbMATH Keywords

central limit theoremfractional Ornstein-Uhlenbeck processleast squares estimatorMalliavin calculusmultiple integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

Abstract: oindent extbf{Abstract}: We consider the parameter estimation problem for the Ornstein-Uhlenbeck process $X$ driven by a fractional Ornstein-Uhlenbeck process $V$, i.e. the pair of processes defined by the non-Markovian continuous-time long-memory dynamics $d{X}_t=-heta{X}_{t}dt+d{V}_t;tgeq0$, with $d{V}_t=-ho{V}_{t}dt+d{B}_t^H;tgeq0$, where $heta>0$ and $ho>0$ are unknown parameters, and $B^H$ is a fractional Brownian motion of Hurst index $Hin(frac12,1)$. We study the strong consistency as well as the asymptotic normality of the joint least squares estimator $(hat{heta}_T,widehatho{\mathrm{\%}}_T)$ of the pair $(heta,ho)$, based either on continuous or discrete observations of $X_s;sinlbrack0,T]$ as the horizon $T$ increases to +$infty$. Both cases qualify formally as partial-hbobservation questions since $V$ is unobserved. In the latter case, several discretization options are considered. Our proofs of asymptotic normality based on discrete data, rely on increasingly strict restrictions on the sampling frequency as one reduces the extent of sources of observation. The strategy for proving the asymptotic properties is to study the case of continuous-time observations using the Malliavin calculus, and then to exploit the fact that each discrete-data estimator can be considered as a perturbation of the continuous one in a mathematically precise way, despite the fact that the implementation of the discrete-time estimators is distant from the continuous estimator. In this sense, we contend that the continuous-time estimator cannot be implemented in practice in any na"ive way, and serves only as a mathematical tool in the study of the discrete-time estimators' asymptotics.

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• Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
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• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
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• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
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• Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
• Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
• Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
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• Parameter estimation for Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes with small Lévy noises
• Kolmogorov bounds in the CLT of the LSE for Gaussian Ornstein Uhlenbeck processes
• Least squares estimation for the Ornstein-Uhlenbeck process with small Hermite noise
• Parameter estimation for partially observed stochastic processes driven by Ornstein–Uhlenbeck processes with small Lévy noises
• The Ornstein-Uhlenbeck process driven by the Hermite-Ornstein-Uhlenbeck process
• Drift parameter identification for the Ornstein-Uhlenbeck process driven by Ornstein-Uhlenbeck with small general Gaussian noise

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