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Minimum -norm estimation for fractional Ornstein-Uhlenbeck type process

Author(s): B. L. S. Prakasa Rao
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, vipusk 71 (2004).
Journal: Theor. Probability and Math. Statist. No. 71 (2005), 181-189.
MSC (2000): Primary 62M09; Secondary 60G15
Posted: December 28, 2005
MathSciNet review: 2144330
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Abstract | References | Similar articles | Additional information

Abstract: We investigate the asymptotic properties of the minimum -norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process satisfying a linear stochastic differential equation driven by a fractional Brownian motion.

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