Minimum $L_1$-norm estimation for fractional OrnsteinâUhlenbeck type process
Author:
B. L. S. Prakasa Rao
Journal:
Theor. Probability and Math. Statist. 71 (2005), 181-189
MSC (2000):
Primary 62M09; Secondary 60G15
DOI:
https://doi.org/10.1090/S0094-9000-05-00657-5
Published electronically:
December 28, 2005
MathSciNet review:
2144330
Full-text PDF Free Access
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Abstract: We investigate the asymptotic properties of the minimum $L_1$-norm estimator of the drift parameter for fractional OrnsteinâUhlenbeck type process satisfying a linear stochastic differential equation driven by a fractional Brownian motion.
References
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References
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Additional Information
B. L. S. Prakasa Rao
Affiliation:
Department of Mathematics and Statistics, University of Hyderabad, Hyderabad 500 046, India
Email:
blsprsm@uohyd.ernet.in
Keywords:
Minimum $L_1$-norm estimation,
fractional OrnsteinâUhlenbeck type process,
fractional Brownian motion
Received by editor(s):
November 25, 2003
Published electronically:
December 28, 2005
Article copyright:
© Copyright 2005
American Mathematical Society