Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case

DOI10.1080/07362994.2021.1942916MaRDI QIDQ5085211zbMATH OpenOpenAlexWikidataFDO

Authors Radomyra Shevchenko, Jeannette Woerner

Publication date 27 June 2022

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1903.08033

zbMATH Keywords

fractional Ornstein Uhlenbeck processleast squares estimatorlong range dependencenon-ergodicityperiodic mean function

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Non-Markovian processes: estimation (62M09)

Abstract: In the paper we consider the problem of estimating parameters entering the drift of a fractional Ornstein-Uhlenbeck type process in the non-ergodic case, when the underlying stochastic integral is of Young type. We consider the sampling scheme that the process is observed continuously on $[0,T]$ and $Toinfty$. For known Hurst parameter $Hin(0.5,1)$, i.e. the long range dependent case, we construct a least-squares type estimator and establish strong consistency. Furthermore, we prove a second order limit theorem which provides asymptotic normality for the parameters of the periodic function with a rate depending on $H$ and a non-central Cauchy limit result for the mean reverting parameter with exponential rate. For the special case that the periodicity parameter is the weight of a periodic function, which integrates to zero over the period, we can even improve the rate to $sqrtT$.

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Cites work

• Drift estimation for a periodic mean reversion process
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• Hypothesis testing in a fractional Ornstein-Uhlenbeck model
• Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean
• On minimum uniform metric estimate of parameters of diffusion-type processes
• Parameter estimation for -fractional bridges
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Cited in

(5)

• Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean
• Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
• Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind
• Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean
• Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean

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