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.

引用

页数：7

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