Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments
Autor: | Almani, Hamidreza Maleki, Sottinen, Tommi |
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Rok vydání: | 2024 |
Předmět: | |
Druh dokumentu: | Working Paper |
Popis: | We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the consistency and asymptotic normality of this estimator. We also include some simulations and provide numerical observations considering different statistical errors. |
Databáze: | arXiv |
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