A Note On Inference for the Mixed Fractional Ornstein-Uhlenbeck Process with Drift

Autor:	Cai, Chunhao, Zhang, Min
Rok vydání:	2020
Předmět:	Mathematics - Statistics Theory Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	This paper is devoted to parameter estimation of the mixed fractional Ornstein-Uhlenbeck process with a drift. Large sample asymptotical properties of the Maximum Likelihood Estimator is deduced using the Laplace transform computations or the Cameron-Martin formula with extra part from \cite{CK19}
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2009.03757 Zobrazit plný text záznamu View this record from Arxiv