Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
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Publication:887245
DOI10.1214/15-EJS1062zbMath1326.60048arXiv1501.04471MaRDI QIDQ887245
Yuliya S. Mishura, Oleg Seleznjev, Kostiantyn Ralchenko, Kęstutis Kubilius
Publication date: 28 October 2015
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.04471
discretization; consistency; fractional Brownian motion; Langevin equation; high-frequency data; strong consistency; short-range dependence; fractional Ornstein-Uhlenbeck process; drift parameter estimator
62F12: Asymptotic properties of parametric estimators
60G22: Fractional processes, including fractional Brownian motion
62F10: Point estimation
60F15: Strong limit theorems
60F25: (L^p)-limit theorems
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