Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process

DOI10.1142/S0219493719500187zbMath1419.62212OpenAlexW2883347447MaRDI QIDQ5384783

Shaochen Wang, Hui Jiang, Jun-Feng Liu

Publication date: 25 June 2019

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493719500187

zbMATH Keywords

confidence intervalshypothesis testingleast squares estimatormultiple Wiener-Itô integralsmoderate deviation principlefractional Ornstein-Uhlenbeck processdeviation inequalities

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Large deviations (60F10)

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