Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the second kind

DOI10.1080/02331888.2013.863888zbMATH Open1369.62210arXiv1302.6047OpenAlexW2127491466MaRDI QIDQ5263964FDOQ5263964

Authors: Ehsan Azmoodeh, José Igor Morlanes 

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

Abstract: Fractional Ornstein-Uhlenbeck process of the second kind $(ext{fOU}_2)$ is solution of the Langevin equation $mathrmd{X}_t=-heta{X}_t,mathrmdt+mathrmd{Y}_t^{(1)},heta>0$ with driving noise $Y_t^{(1)}:=in{t}_0^t{e}^{-s},mathrmd{B}_{a_s};a_t=H{e}^{fractH}$ where $B$ is a fractional Brownian motion with Hurst parameter $Hin(0,1)$. In this article, in the case $H>1/2$, we prove that the least squares estimator $hat{heta}_T$ introduced in [cite{h-n}, Statist. Probab. Lett. 80, no. 11-12, 1030-1038], provides a consistent estimator. Moreover, using central limit theorem for multiple Wiener integrals, we prove asymptotic normality of the estimator valid for the whole range $Hin(1/2,1)$.

Full work available at URL: https://arxiv.org/abs/1302.6047

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zbMATH Keywords

Malliavin calculusleast-squares estimatorLangevin equationfractional Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• Stochastic calculus with respect to Gaussian processes
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Fractional {O}rnstein-{U}hlenbeck processes
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Equivalence of Volterra processes.
• Parameter estimation for fractional Ornstein-Uhlenbeck processes

Cited In (15)

• Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind
• Maximum likelihood estimators of a long-memory process from discrete observations
• Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
• Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
• Kolmogorov bounds in the CLT of the LSE for Gaussian Ornstein Uhlenbeck processes
• Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
• Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
• Berry-Ess\'een bounds for parameter estimation of general Gaussian processes
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind
• Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind
• Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion
• Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
• Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process

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