Geodesic
Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process
Teoriâ veroâtnostej i ee primeneniâ, Tome 63 (2018) no. 3, pp. 500-519

Voir la notice de l'article provenant de la source Math-Net.Ru

This paper addresses the problem of estimating the drift parameter of the Ornstein–Uhlenbeck-type process driven by the sum of independent standard and fractional Brownian motions. With the help of some recent results on the canonical representation and spectral structure of mixed processes, the maximum likelihood estimator is shown to be consistent and asymptotically normal in the large-sample limit.
Keywords: maximum likelihood estimator, Ornstein–Uhlenbeck process, fractional Brownian motion, singularly perturbed integral equation, weakly singular integral operator. 
@article{TVP_2018_63_3_a5,
     author = {P. Chigansky and M. Kleptsyna},
     title = {Statistical analysis of the mixed fractional {Ornstein--Uhlenbeck} process},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {500--519},
     publisher = {mathdoc},
     volume = {63},
     number = {3},
     year = {2018},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2018_63_3_a5/}
}
TY  - JOUR
AU  - P. Chigansky
AU  - M. Kleptsyna
TI  - Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2018
SP  - 500
EP  - 519
VL  - 63
IS  - 3
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_2018_63_3_a5/
LA  - en
ID  - TVP_2018_63_3_a5
ER  - 
%0 Journal Article
%A P. Chigansky
%A M. Kleptsyna
%T Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2018
%P 500-519
%V 63
%N 3
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_2018_63_3_a5/
%G en
%F TVP_2018_63_3_a5
P. Chigansky; M. Kleptsyna. Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process. Teoriâ veroâtnostej i ee primeneniâ, Tome 63 (2018) no. 3, pp. 500-519. http://geodesic.mathdoc.fr/item/TVP_2018_63_3_a5/