Parametric estimation for sub-fractional Ornstein-Uhlenbeck process

被引：39
作者：
Mendy, Ibrahima [1 ]
机构：
[1] Univ Ziguinchor, UFR Sci & Technol, Dept Math, Ziguinchor, Senegal
来源：
JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2013年 / 143卷 / 04期
关键词：
Least squares method; Sub-fractional Brownian motion; Sub-fractional Ornstein-Uhlenbec process; BROWNIAN-MOTION; RESPECT; TIME; SYSTEMS; DRIVEN; STATES;
D O I：
10.1016/j.jspi.2012.10.013
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider the parameter estimation problem for the sub-fractional Ornstein-Uhlenbeck process defined as X-0 = 0, dX(t) = theta X(t)dt+dS(t)(H), t >= 0, with parameter theta > 0, where S-H is a sub-fractional Brownian motion with index H > 1/2. We study the consistency and the asymptotic distribution of the least squares estimator (theta) over cap (t) of theta based on the observation {X-s,s is an element of [0,t]} as t ->infinity. (C) 2012 Elsevier B.V. All rights reserved.
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收藏
页码：663 / 674
页数：12
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