Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process

被引：0
作者：
Shen, Liang [1 ,2 ]
Xu, Qingsong [1 ]
机构：
[1] Cent S Univ, Sch Math & Stat, Changsha, Hunan, Peoples R China
[2] Linyi Univ, Sch Sci, Linyi, Peoples R China
来源：
ADVANCES IN DIFFERENCE EQUATIONS | 2014年
关键词：
fractional Ornstein-Uhlenbeck process; minimum L-1-norm estimator; fractional Brownian motion; asymptotic law; PARAMETER-ESTIMATION;
D O I：
10.1186/1687-1847-2014-75
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider the minimum L-1-norm estimator theta(epsilon)* of the parameter theta of a linear stochastic differential equation dX(t) = theta X-t dt + epsilon dB(t)(H), X-0 = x(0), where {B-t(H), 0 <= t <= T} is a fractional Brownian motion. The asymptotic law of its limit distribution is studied for T -> +infinity, when epsilon -> 0.
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收藏
页数：7
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