Least-Squares Estimators of Drift Parameter for Discretely Observed Fractional Ornstein–Uhlenbeck Processes

Least-Squares Estimators of Drift Parameter for Discretely Observed Fractional Ornstein–Uhlenbeck Processes

We introduce three new estimators of the drift parameter of a fractional Ornstein–Uhlenbeck process. These estimators are based on modifications of the least-squares procedure utilizing the explicit formula for the process and covariance structure of a fractional Brownian motion. We demonstrate thei...

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Bibliographic Details
Main Authors:	Pavel Kříž, Leszek Szała
Format:	Article
Language:	English
Published:	MDPI AG 2020-05-01
Series:	Mathematics
Subjects:	fractional Brownian motion Ornstein–Uhlenbeck process drift parameter estimation
Online Access:	https://www.mdpi.com/2227-7390/8/5/716

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