Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process

Pavel Chigansky; Marina Kleptsyna

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arXiv · 1507.04194

Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process

Pavel Chigansky·Marina Kleptsyna

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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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Pavel Chigansky, Marina Kleptsyna. 2015-07-15. Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process. https://arxiv.org/abs/1507.04194

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