Acta mathematica scientia, Series B >
LEAST SQUARES ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESSES DRIVEN BY THE WEIGHTED FRACTIONAL BROWNIAN MOTION
Received date: 2014-02-18
Revised date: 2015-04-28
Online published: 2016-04-25
Supported by
Guangjun Shen was supported by the National Natural Science Foundation of China (11271020), the Distinguished Young Scholars Foundation of Anhui Province (1608085J06). Litan Yan was supported by the National Natural Science Foundation of China (11171062).
In this article, we study a least squares estimator (LSE) of θ for the Ornstein-Uhlenbeck process X0=0, dXt=θXtdt+dBta, b, t≥0 driven by weighted fractional Brownian motion Ba, b with parameters a, b. We obtain the consistency and the asymptotic distribution of the LSE based on the observation {Xs, s ∈[0, t]} as t tends to infinity.
Guangjun SHEN , Xiuwei YIN , Litan YAN . LEAST SQUARES ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESSES DRIVEN BY THE WEIGHTED FRACTIONAL BROWNIAN MOTION[J]. Acta mathematica scientia, Series B, 2016 , 36(2) : 394 -408 . DOI: 10.1016/S0252-9602(16)30008-X
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