Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters

Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters

Let $ B^{a, b}: = \{B_t^{a, b}, t\geq0\} $ be a weighted fractional Brownian motion of parameters $ a > -1 $, $ |b| < 1 $, $ |b| < a+1 $. We consider a least square-type method to estimate the drift parameter $ \theta > 0 $ of the weighted fractional Ornstein-Uhlenbeck pr...

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Bibliographic Details
Main Authors: Abdulaziz Alsenafi, Mishari Al-Foraih, Khalifa Es-Sebaiy
Format: Article
Language:English
Published: AIMS Press 2021-09-01
Series:AIMS Mathematics
Subjects:
drift parameter estimation
weighted fractional ornstein-uhlenbeck process
strong consistency
asymptotic distribution
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2021738?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.2021738?viewType=HTML

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