Articlebronze2005

Minimum $L_1$-norm estimation for fractional Ornstein–Uhlenbeck type process

18 citations0/0 files storedTheory of Probability and Mathematical Statistics

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fractional Differential Equations Solutions

Abstract

We investigate the asymptotic properties of the minimum $L_1$-norm estimator of the drift parameter for fractional Ornstein–Uhlenbeck type process satisfying a linear stochastic differential equation driven by a fractional Brownian motion.

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References

2003Theory and applications of long-range dependence 2000New York 1987 2001Stochastic Calculus with Respect to Gaussian Processes 2003Fractional Ornstein-Uhlenbeck processes 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions 2000Integration questions related to fractional Brownian motion 1999Statistical inference for diffusion type processes 2002Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process

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