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• W2023137939 abstract "We study a least squares estimator θ̂T for the Ornstein–Uhlenbeck process, dXt=θXtdt+σdBtH, driven by fractional Brownian motion BH with Hurst parameter H≥12. We prove the strong consistence of θ̂T (the almost surely convergence of θ̂T to the true parameter θ). We also obtain the rate of this convergence when 1/2≤H<3/4, applying a central limit theorem for multiple Wiener integrals. This least squares estimator can be used to study other more simulation friendly estimators such as the estimator θ̃T obtained by a function of ∫0TXt2dt." @default.
• W2023137939 created "2016-06-24" @default.
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• W2023137939 date "2010-06-01" @default.
• W2023137939 modified "2023-10-14" @default.
• W2023137939 title "Parameter estimation for fractional Ornstein–Uhlenbeck processes" @default.
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• W2023137939 doi "https://doi.org/10.1016/j.spl.2010.02.018" @default.
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