Parameter identification for the Hermite Ornstein-Uhlenbeck process

被引：5
|
作者：
Assaad, Obayda [1 ]
Tudor, Ciprian A. [1 ]
机构：
[1] Univ Lille, CNRS, Lab Paul Painleve, UMR 8524, F-59655 Villeneuve Dascq, France
来源：
STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES | 2020年 / 23卷 / 02期
关键词：
Hermite process; Fractional Brownian motion; Parameter estimation; Multiple Wiener-Ito integrals; Strong consistency; Asymptotic normality; Ornstein-Uhlenbeck process; Hurst index estimation; STOCHASTIC-EVOLUTION EQUATIONS; RESPECT; INTEGRALS; BEHAVIOR; DRIVEN;
D O I：
10.1007/s11203-020-09219-z
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：
By using the analysis on Wiener chaos, we study the behavior of the quadratic variations of the Hermite Ornstein-Uhlenbeck process, which is the solution to the Langevin equation driven by a Hermite process. We apply our results to the identification of the Hurst parameter of the Hermite Ornstein-Uhlenbeck process.
引用
收藏
页码：251 / 270
页数：20
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