Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean

DOI10.1007/s11203-016-9136-2zbMath1369.62214arXiv1509.03163OpenAlexW2224053729MaRDI QIDQ523443

Brice Franke, Jeannette H. C. Woerner, Herold G. Dehling

Publication date: 21 April 2017

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.03163

zbMATH Keywords

least squares estimatorlong range dependencefractional Ornstein Uhlenbeck processperiodic mean function

Mathematics Subject Classification ID

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

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