Article ID Journal Published Year Pages File Type
1148760 Journal of Statistical Planning and Inference 2013 12 Pages PDF
Abstract

We consider the parameter estimation problem for the sub-fractional Ornstein–Uhlenbeck process defined as X0=0,dXt=θXtdt+dStH, t⩾0,t⩾0, with parameter θ>0θ>0, where SH is a sub-fractional Brownian motion with index H>12. We study the consistency and the asymptotic distribution of the least squares estimator θ^t of θθ based on the observation {Xs,s∈[0,t]}{Xs,s∈[0,t]} as t→∞t→∞.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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