Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index H(0,12)

DOI10.1214/15-EJS1062MaRDI QIDQ887245zbMATH OpenFDO

Authors Yuliya S. Mishura, K. V. Ral'chenko, Oleg Seleznjev, K. 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, https://projecteuclid.org/euclid.ejs/1440507394

zbMATH Keywords

consistencydiscretizationdrift parameter estimatorfractional Brownian motionfractional Ornstein-Uhlenbeck processhigh-frequency dataLangevin equationshort-range dependencestrong consistency

Mathematics Subject Classification ID

Strong limit theorems (60F15) (L^p)-limit theorems (60F25) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12)

Abstract: We consider Langevin equation involving fractional Brownian motion with Hurst index $Hin(0,frac12)$. Its solution is the fractional Ornstein-Uhlenbeck process and with unknown drift parameter $heta$. We construct the estimator that is similar in form to maximum likelihood estimator for Langevin equation with standard Brownian motion. Observations are discrete in time. It is assumed that the interval between observations is $n^{-1}$, i.e. tends to zero (high frequency data) and the number of observations increases to infinity as $n^m$ with $m>1$. It is proved that for positive $heta$ the estimator is strongly consistent for any $m>1$ and for negative $heta$ it is consistent when $m>frac12H$.

Recommendations

• On drift estimation for non-ergodic fractional Ornstein-Uhlenbeck process with discrete observations
• Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• On parameter estimation of fractional Ornstein-Uhlenbeck process
• Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind

Cites work

• Affine fractional stochastic volatility models
• Almost sure central limit theorems for random ratios and applications to LSE for fractional Ornstein-Uhlenbeck processes
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
• Berry-Esseen bounds for the least squares estimator for discretely observed fractional Ornstein-Uhlenbeck processes
• Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion
• Fractional {O}rnstein-{U}hlenbeck processes
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• Integrated functionals of normal and fractional processes
• Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet
• Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
• Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
• Notes on drift estimation for certain non-recurrent diffusion processes from sampled data
• On drift estimation for non-ergodic fractional Ornstein-Uhlenbeck process with discrete observations
• On drift parameter estimation in models with fractional Brownian motion
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
• Parametric estimation for SDEs with additive sub-fractional Brownian motion
• Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
• Parametric inference for discretely observed non-ergodic diffusions
• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical aspects of the fractional stochastic calculus
• The consistency of a nonlinear least squares estimator from diffusion processes

Cited in

(18)

• Forecasting of time data with using fractional Brownian motion
• Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
• Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
• Maximum likelihood estimation in the non-ergodic fractional Vasicek model
• On drift estimation for non-ergodic fractional Ornstein-Uhlenbeck process with discrete observations
• Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
• A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
• Clustering of extreme events in time series generated by the fractional Ornstein-Uhlenbeck equation
• Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the second kind
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
• Quasi-Likelihood Analysis of Fractional Brownian Motion with Constant Drift under High-Frequency Observations
• Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean
• Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
• Parameter estimation for the Langevin equation with stationary-increment Gaussian noise
• Local powers of least-squares-based test for panel fractional Ornstein-Uhlenbeck process
• Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
• Drift parameter estimation for tempered fractional Ornstein-Uhlenbeck processes based on discrete observations

Describes a project that uses

Uses Software

• YUIMA

This page was built for publication: Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q887245)