Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean

DOI10.1007/S11203-019-09200-5MaRDI QIDQ1984653zbMATH OpenOpenAlexWikidataFDO

Authors Radomyra Shevchenko, Ciprian A. Tudor

Publication date 7 April 2020

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

Full work available at URL https://arxiv.org/abs/1903.02376

zbMATH Keywords

asymptotic normalityleast squares estimatorMalliavin calculusmultiple Wiener-Itô integralsOrnstein-Uhlenbeck processparameter estimationperiodic mean functionRosenblatt processstrong consistency

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We study the least squares estimator for the drift parameter of the Langevin stochastic equation driven by the Rosenblatt process. Using the techniques of the Malliavin calculus and the stochastic integration with respect to the Rosenblatt process, we analyze the consistency and the asymptotic distribution of this estimator. We also introduce alternative estimators, which can be simulated, and we study their asymptotic properties.

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Cited in

(11)

• A stochastic calculus for Rosenblatt processes
• The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean
• Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
• Vector-valued generalized Ornstein-Uhlenbeck processes: properties and parameter estimation
• Least squares estimation for the Ornstein-Uhlenbeck processes driven by Rosenblatt process
• Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean
• Least squares estimation for the Ornstein-Uhlenbeck process with small Hermite noise
• Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
• Parameter estimation for an Ornstein-Uhlenbeck process driven by a type of Gaussian noise with Hurst parameter \(H\in (0,\frac{1}{2})\)
• The linear self-attracting diffusion driven by the weighted-fractional Brownian motion. II: The parameter estimation
• Stochastic differential equation driven by the Rosenblatt process

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