Least-Squares Estimators of Drift Parameter for Discretely Observed Fractional Ornstein–Uhlenbeck Processes
We introduce three new estimators of the drift parameter of a fractional Ornstein–Uhlenbeck process. These estimators are based on modifications of the least-squares procedure utilizing the explicit formula for the process and covariance structure of a fractional Brownian motion. We demonstrate thei...
Gorde:
| Egile Nagusiak: | , |
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| Formatua: | Artigo |
| Hizkuntza: | Inglês |
| Argitaratua: |
MDPI AG
2020-05-01
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| Saila: | Mathematics |
| Gaiak: | |
| Sarrera elektronikoa: | https://www.mdpi.com/2227-7390/8/5/716 |
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