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arXiv · 2401.05114

Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments

Hamidreza Maleki Almani·Tommi Sottinen
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Abstract

We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the consistency and asymptotic normality of this estimator. We also include some simulations and provide numerical observations considering different statistical errors.

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Hamidreza Maleki Almani, Tommi Sottinen. 2024-01-10. Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments. https://arxiv.org/abs/2401.05114

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