Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations

DOI10.1007/S11203-020-09235-ZzbMATH Open1471.62452arXiv2004.05096OpenAlexW3119684812MaRDI QIDQ2046296FDOQ2046296

Authors: El Mehdi Haress, Yaozhong Hu 

Publication date: 17 August 2021

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

Abstract: Let the Ornstein-Uhlenbeck process $(X_t{)}_{tge0}$ driven by a fractional Brownian motion $B^H$, described by $d{X}_t=-heta{X}_{t}dt+sigmad{B}_t^H$ be observed at discrete time instants $t_k=kh$, $k=0,1,2,cdots,2n+2$. We propose ergodic type statistical estimators $hathet{a}_n$, $hat{H}_n$ and $hatsigm{a}_n$ to estimate all the parameters $heta$, $H$ and $sigma$ in the above Ornstein-Uhlenbeck model simultaneously. We prove the strong consistence and the rate of convergence of the estimators. The step size $h$ can be arbitrarily fixed and will not be forced to go zero, which is usually a reality. The tools to use are the generalized moment approach (via ergodic theorem) and the Malliavin calculus.

Full work available at URL: https://arxiv.org/abs/2004.05096

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zbMATH Keywords

ergodicityparameter estimationMalliavin calculuscentral limit theoremfractional Brownian motionstationary processesNewton methodfractional Ornstein-Uhlenbeck

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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Cited In (16)

• Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
• Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
• On parameter estimation of fractional Ornstein-Uhlenbeck process
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion
• Parameter estimation for a partially observed Ornstein-Uhlenbeck process with long-memory noise
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Local linear estimator for fractional diffusions
• Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
• Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
• Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
• Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
• Ergodic estimators of double exponential Ornstein-Uhlenbeck processes

Uses Software

• YUIMA

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