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

DOI10.1007/S11203-020-09235-ZMaRDI QIDQ2046296zbMATH OpenOpenAlexFDO

Authors El Mehdi Haress, Yaozhong Hu

Publication date 17 August 2021

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

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

zbMATH Keywords

central limit theoremergodicityfractional Brownian motionfractional Ornstein-UhlenbeckMalliavin calculusNewton methodparameter estimationstationary processes

Mathematics Subject Classification ID

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

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.

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Cited in

(19)

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

Describes a project that uses

Uses Software

• YUIMA

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