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arXiv · 2009.03757

A Note On Inference for the Mixed Fractional Ornstein-Uhlenbeck Process with Drift

Chunhao Cai·Min Zhang
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Abstract

This paper is devoted to parameter estimation of the mixed fractional Ornstein-Uhlenbeck process with a drift. Large sample asymptotical properties of the Maximum Likelihood Estimator is deduced using the Laplace transform computations or the Cameron-Martin formula with extra part from \cite{CK19}

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BibTeXRIS

Chunhao Cai, Min Zhang. 2021-01-16. A Note On Inference for the Mixed Fractional Ornstein-Uhlenbeck Process with Drift. https://arxiv.org/abs/2009.03757

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