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- W4300620135 abstract "We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck process with periodic mean function and long range dependence. For this estimator we prove consistency and asymptotic normality. In contrast to the classical fractional Ornstein Uhlenbeck process without periodic mean function the rate of convergence is slower depending on the Hurst parameter $H$, namely $n^{1-H}$." @default.
- W4300620135 created "2022-10-03" @default.
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- W4300620135 date "2015-09-10" @default.
- W4300620135 modified "2023-10-17" @default.
- W4300620135 title "Estimating Drift Parameters in a Fractional Ornstein Uhlenbeck Process with Periodic Mean" @default.
- W4300620135 doi "https://doi.org/10.48550/arxiv.1509.03163" @default.
- W4300620135 hasPublicationYear "2015" @default.
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