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...
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| Hlavní autoři: | , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
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MDPI AG
2020-05-01
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| Edice: | Mathematics |
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| On-line přístup: | https://www.mdpi.com/2227-7390/8/5/716 |
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