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

zbMath1333.60048arXiv1209.0137MaRDI QIDQ2787066

Khalifa Es-Sebaiy, Peggy Cénac

Publication date: 24 February 2016

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

zbMATH Keywords

least squares estimatoralmost sure central limit theoremmultiple stochastic integralsfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

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

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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 ⋮ Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations

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