Almost sure central limit theorems for random ratios and applications to LSE for fractional Ornstein-Uhlenbeck processes

zbMATH Open1333.60048arXiv1209.0137MaRDI QIDQ2787066FDOQ2787066

Authors: Peggy Cénac, K. Es-Sebaiy 

Publication date: 24 February 2016

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: We investigate an almost sure limit theorem (ASCLT) for sequences of random variables having the form of a ratio of two terms such that the numerator satisfies the ASCLT and the denominator is a positive term which converges almost surely to 1. This result leads to the ASCLT for least square estimators for Ornstein-Uhlenbeck process driven by fractional Brownian motion.

Full work available at URL: https://arxiv.org/abs/1209.0137

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zbMATH Keywords

almost sure central limit theoremmultiple stochastic integralsleast squares estimatorfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Strong limit theorems (60F15) Stochastic integrals (60H05)

Cited In (5)

• Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
• Optimal rates for parameter estimation of stationary Gaussian processes
• Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• Moment estimator for an AR(1) model driven by a long memory Gaussian noise

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