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Pré-Publication, Document De Travail Année : 2018

Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process

Marina Kleptsyna
Pavel Chigansky
  • Fonction : Auteur

Résumé

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.

Dates et versions

hal-01740657 , version 1 (22-03-2018)

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Marina Kleptsyna, Pavel Chigansky. Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process. 2018. ⟨hal-01740657⟩
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