Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean

DOI10.1007/S00184-021-00854-XMaRDI QIDQ2167326zbMATH OpenOpenAlexWikidataFDO

Authors Rachid Belfadli, K. Es-Sebaiy, F. Farah

Publication date 25 August 2022

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.00052

zbMATH Keywords

fractional Ornstein-Uhlenbeck processjoint asymptotic distributionparameter estimationperiodic mean functionstrong consistencyYoung integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and fuzziness (62M86)

Abstract: Consider a periodic, mean-reverting Ornstein-Uhlenbeck process $X=X_t,tgeq0$ of the form $d{X}_t=left(L(t)+alpha{X}_{t}ight)dt+d{B}_t^H,quadtgeq0$, where $L(t)=su{m}_{i=1}^{p}m{u}_{i}ph{i}_i(t)$ is a periodic parametric function, and $B_t^H,tgeq0$ is a fractional Brownian motion of Hurst parameter $frac12leqH<1$. In the "ergodic" case $alpha<0$, the parametric estimation of $(m{u}_1,ldots,m{u}_p,alpha)$ based on continuous-time observation of $X$ has been considered in Dehling et al. cite{DFK}, and in Dehling et al. cite{DFW} for $H=frac12$, and $frac12<H<1$, respectively. In this paper we consider the "non-ergodic" case $alpha>0$, and for all $frac12leqH<1$. We analyze the strong consistency and the asymptotic distribution for the estimator of $(m{u}_1,ldots,m{u}_p,alpha)$ when the whole trajectory of $X$ is observed.

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Cited in

(4)

• Drift estimation for a periodic mean reversion process
• Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: stationarity versus nonstationarity
• Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case
• Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean

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