کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5129464 | 1489731 | 2018 | 20 صفحه PDF | دانلود رایگان |
- The paper studies Gaussian processes having not asymptotically stationary increments.
- The results generalize partially some known results about fractional Brownian motion.
- The paper constructs the estimator of the diffusion coefficient of an O-U model.
- The proposed method is shown to be robust to a large class of Gaussian processes.
Let Ba,b be a weighted-fractional Brownian motion with indexes a and b satisfying |b|<1â§(1+a),a>â1 which is a central Gaussian process such that EBta,bBsa,b=1+b2â«0sâ§tua((tâu)b+(sâu)b)du.In this paper, we consider the asymptotic normality associated with processes â«0tBs+εa,bâBsa,b2âtaε1+bds,tâ[0,T],ε>0.As an application we study the asymptotic normality of the estimator of parameter Ï>0 in stochastic process Xt=ÏBta,bâβâ«0tXsds by using the generalized quadratic variation.
Journal: Journal of Statistical Planning and Inference - Volume 192, January 2018, Pages 45-64