Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process

DOI10.1007/S40304-021-00245-8MaRDI QIDQ6168749zbMATH OpenOpenAlexFDO

Authors Chunhao Cai, Qinghua Wang, Weilin Xiao

Publication date 11 July 2023

Published in Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1809.02038

zbMATH Keywords

Ornstein-Uhlenbeck processleast square estimatormixed sub-fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Abstract: In this paper, we will first give the numerical simulation of the sub-fractional Brownian motion through the relation of fractional Brownian motion instead of its representation of random walk. In order to verify the rationality of this simulation, we propose a practical estimator associated with the LSE of the drift parameter of mixed sub-fractional Ornstein-Uhlenbeck process, and illustrate the asymptotical properties according to our method of simulation when the Hurst parameter $H>1/2$.

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Cites work

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Cited in

(4)

• Drift perturbation of subordinate Brownian motions with Gaussian component
• Estimators for the Drift of Subfractional Brownian Motion
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• Smoothing effect and derivative formulas for Ornstein-Uhlenbeck processes driven by subordinated cylindrical Brownian noises

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