Statistical inference for Vasicek-type model driven by Hermite processes

DOI10.1016/J.SPA.2018.10.005zbMATH Open1479.60078arXiv1712.05915OpenAlexW2963969931WikidataQ129022976 ScholiaQ129022976MaRDI QIDQ2274256FDOQ2274256

Authors: Ivan Nourdin, T. T. Diu Tran 

Publication date: 19 September 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Let $Z$ denote a Hermite process of order $qgeq1$ and self-similarity parameter $Hin(frac12,1)$. This process is $H$-self-similar, has stationary increments and exhibits long-range dependence. When $q=1$, it corresponds to the fractional Brownian motion, whereas it is not Gaussian as soon as $qgeq2$. In this paper, we deal with a Vasicek-type model driven by $Z$, of the form $d{X}_t=a(b-X_t)dt+d{Z}_t$. Here, $a>0$ and $binmathbbR$ are considered as unknown drift parameters. We provide estimators for $a$ and $b$ based on continuous-time observations. For all possible values of $H$ and $q$, we prove strong consistency and we analyze the asymptotic fluctuations.

Full work available at URL: https://arxiv.org/abs/1712.05915

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zbMATH Keywords

parameter estimationstrong consistencylong-range dependencefractional Ornstein-Uhlenbeck processfractional Vasicek modelHermite Ornstein-Uhlenbeck Processes

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)

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Cited In (24)

• Inference in a Non-Homogeneous Vasicek Type Model
• Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean
• Parameter estimation for a discrete time model driven by fractional Poisson process
• Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
• Statistical inference for Vasicek-type model driven by self-similar Gaussian processes
• Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
• Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion
• The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean
• Limit theorems for integral functionals of Hermite-driven processes
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
• Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
• Asymptotic normality for a modified quadratic variation of the Hermite process
• Least squares estimation for the Ornstein-Uhlenbeck process with small Hermite noise
• Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach
• Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model
• Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process
• Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
• Deviation inequalities and Cramér-type moderate deviations for the explosive autoregressive process
• Parameter estimation for Vasicek model driven by a general Gaussian noise
• Title not available (Why is that?)
• Parameter identification for the Hermite Ornstein-Uhlenbeck process
• Fractal dimensions of the Rosenblatt process
• Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion

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