Statistical analysis of the mixed fractional Ornstein-Uhlenbeck process

DOI10.1137/S0040585X97T989143MaRDI QIDQ4618064zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 7 February 2019

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.04194

zbMATH Keywords

fractional Brownian motionmaximum likelihood estimatorOrnstein-Uhlenbeck processsingularly perturbed integral equationweakly singular integral operator

Mathematics Subject Classification ID

Singular nonlinear integral equations (45G05) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10)

Abstract: This paper addresses the problem of estimating drift parameter of the Ornstein - Uhlenbeck type process, driven by the sum of independent standard and fractional Brownian motions. The maximum likelihood estimator is shown to be consistent and asymptotically normal in the large-sample limit, using some recent results on the canonical representation and spectral structure of mixed processes.

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Cited in

(17)

• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Mixed fractional Brownian motion: a spectral take
• Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion
• Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
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• Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
• Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion
• Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
• Fractional processes and their statistical inference: an overview
• Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process

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