Rate of convergence for the maximum likelihood estimator in fractional Ornstein-Uhlenbeck processes

被引：0
|
作者：
Sun, Lin [2 ]
Liu, Youzhu [1 ]
Xu, Weijun [1 ]
Xiao, Weilin [1 ,3 ]
机构：
[1] S China Univ Technol, Sch Business Adm, Guangzhou 510641, Guangdong, Peoples R China
[2] Guangdong Univ Technol, Fac Appl Math, Guangzhou 510090, Guangdong, Peoples R China
[3] Zhejiang Univ, Sch Management, Hangzhou 310006, Zhejiang, Peoples R China
来源：
INFORMATION-AN INTERNATIONAL INTERDISCIPLINARY JOURNAL | 2012年 / 15卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Maximum likelihood estimator; fractional Ornstein-Uhlenbeck processes; rate of convergence; Laplace transform;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper studies the rate of convergence of the maximum likelihood estimator of drift parameter appearing fractional Ornstein-Uhlenbeck processes when Hurst parameter is greater than 1/2. The Laplace transform computations and the Holder's inequality are used to obtain the asymptotic convergence rate .
引用
收藏
页码：461 / 466
页数：6
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