Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes

被引：6
|
作者：
Xiao WeiLin [1 ]
Zhang WeiGuo [1 ]
Zhang XiLi [2 ]
机构：
[1] S China Univ Technol, Sch Business & Adm, Guangzhou 510640, Guangdong, Peoples R China
[2] Zhejiang Univ, Dept Accounting & Finance, Sch Management, Hangzhou 310006, Zhejiang, Peoples R China
来源：
SCIENCE CHINA-MATHEMATICS | 2012年 / 55卷 / 07期
基金：
中国国家自然科学基金;
关键词：
minimum contrast estimator; fractional Brownian motions; Ornstein-Uhlenbeck process; strong consistency; asymptotic normality; LEAST-SQUARES ESTIMATOR; PARAMETER-ESTIMATION; BROWNIAN-MOTION; DRIVEN;
D O I：
10.1007/s11425-012-4386-y
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper proposes a minimum contrast methodology to estimate the drift parameter for the Ornstein-Uhlenbeck process driven by fractional Brownian motion of Hurst index, which is greater than one half. Both the strong consistency and the asymptotic normality of this minimum contrast estimator are studied based on the Laplace transform. The numerical simulation results confirm the theoretical analysis and show that the minimum contrast technique is effective and efficient.
引用
收藏
页码：1497 / 1511
页数：15
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