Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation

被引:71
作者
Xiao, Weilin [1 ]
Zhang, Weiguo [1 ]
Xu, Weidong [2 ]
机构
[1] S China Univ Technol, Sch Business Adm, Guangzhou 510640, Peoples R China
[2] Zhejiang Univ, Sch Management, Dept Accounting & Finance, Hangzhou 310006, Zhejiang, Peoples R China
基金
中国国家自然科学基金;
关键词
Discrete time sampling; Fractional Ornstein-Uhlenbeck processes; Ergodic theorem; Quadratic variation;
D O I
10.1016/j.apm.2011.02.047
中图分类号
T [工业技术];
学科分类号
08 ;
摘要
This paper deals with the problem of estimating the parameters for fractional Ornstein-Uhlenbeck processes from discrete observations when the Hurst parameter H is known. Both the drift and the diffusion coefficient estimators of discrete form are obtained based on approximating integrals via Riemann sums with Hurst parameter H is an element of (1/2,3/4). By adapting the stochastic integral representation to the fractional Brownian motion, these two estimators can be efficiently computed by the use of computer software. Numerical examples are presented to examine the performance of our method. An application to real data is also presented to show how to apply this method in practice. (C) 2011 Elsevier Inc. All rights reserved.
引用
收藏
页码:4196 / 4207
页数:12
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