Minimum L₁-norm estimation for fractional Ornstein-Uhlenbeck process driven by a Gaussian process

DOI10.5109/7170127arXiv2208.04366OpenAlexW4392890151MaRDI QIDQ6407325FDOQ6407325

Authors: B. L. S. Prakasa Rao 

Publication date: 8 August 2022

Abstract: We investigate the asymptotic properties of the minimum $L_1$-norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process driven by a general Gaussian process.

Full work available at URL: https://doi.org/10.5109/7170127

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

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