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

MaRDI QIDQ2787066zbMATH OpenFDO

Authors Peggy Cénac, K. Es-Sebaiy

Publication date 24 February 2016

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

Full work available at URL https://arxiv.org/abs/1209.0137, http://www.math.uni.wroc.pl/%7epms/publicationsArticle.php?ppB=285&nr=35.2&nrA=7&ppE=300

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)

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.

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Cited in

(5)

• 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
• Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
• Optimal rates for parameter estimation of stationary Gaussian processes

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