Asymptotically efficient estimation of Ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations

被引：0
作者：
Kohei Chiba
Tetsuya Takabatake
机构：
[1] Osaka University,Graduate School of Engineering Science
[2] Hiroshima University,School of Economics
来源：
Statistical Inference for Stochastic Processes | 2024年 / 27卷
关键词：
Fractional Ornstein-Uhlenbeck process; Estimation of drift parameters; Continuous observations; Local asymptotic normality property; 62M09;
D O I：
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学科分类号：
摘要：
We consider the problem of asymptotically efficient estimation of drift parameters of the ergodic fractional Ornstein-Uhlenbeck process under continuous observations when the Hurst parameter H<1/2\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$H<1/2$$\end{document} and the mean of its stationary distribution is not equal to zero. In this paper, we derive asymptotically efficient rates and variances of estimators of drift parameters and prove an asymptotic efficiency of a maximum likelihood estimator of drift parameters.
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页码：103 / 122
页数：19
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