Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments

Autor: Almani, Hamidreza Maleki, Sottinen, Tommi
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