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Theory of Probability and Mathematical Statistics

ISSN 1547-7363(online) ISSN 0094-9000(print)

 
 

 

Minimum $L_1$-norm estimation for fractional Ornstein–Uhlenbeck 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
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Abstract | References | Similar Articles | Additional Information

Abstract: We investigate the asymptotic properties of the minimum $L_1$-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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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 Ornstein–Uhlenbeck type process, fractional Brownian motion
Received by editor(s): November 25, 2003
Published electronically: December 28, 2005
Article copyright: © Copyright 2005 American Mathematical Society