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Teoriya Veroyatnostei i ee Primeneniya, 2018, Volume 63, Issue 3, Pages 500–519
DOI: https://doi.org/10.4213/tvp5178 (Mi tvp5178) 		 
This article is cited in 11 scientific papers (total in 11 papers)

Statistical analysis of the mixed fractional Ornstein–Uhlenbeck process

P. Chiganskya, M. Kleptsynab

a Department of Statistics, The Hebrew University, Mount Scopus, Jerusalem, Israel
b Laboratoire Manceau de Mathématiques, Faculté des Sciences et Techniques, Université du Maine, France
Full-text PDF (539 kB) Citations (11)
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DOI: https://doi.org/10.4213/tvp5178
Abstract: This paper addresses the problem of estimating the drift parameter of the Ornstein–Uhlenbeck-type process driven by the sum of independent standard and fractional Brownian motions. With the help of some recent results on the canonical representation and spectral structure of mixed processes, the maximum likelihood estimator is shown to be consistent and asymptotically normal in the large-sample limit.
Keywords: maximum likelihood estimator, Ornstein–Uhlenbeck process, fractional Brownian motion, singularly perturbed integral equation, weakly singular integral operator.
Funding agency Grant number
Israel Science Foundation 558/13
The work of the first author was supported by an ISF 558/13 grant.
Received: 20.09.2016
Revised: 29.10.2017
Accepted: 23.12.2017
English version:
Theory of Probability and its Applications, 2019, Volume 63, Issue 3, Pages 408–425
DOI: https://doi.org/10.1137/S0040585X97T989143
Bibliographic databases:
Document Type: Article
Language: English
Citation: P. Chigansky, M. Kleptsyna, “Statistical analysis of the mixed fractional Ornstein–Uhlenbeck process”, Teor. Veroyatnost. i Primenen., 63:3 (2018), 500–519; Theory Probab. Appl., 63:3 (2019), 408–425
Citation in format AMSBIB
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    • This publication is cited in the following 11 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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