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

页码：251 / 270

页数：20

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