logo_acta

Acta Mathematica Vietnamica

MINIMUM $L_1$-NORM ESTIMATION FOR MIXED FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS

icon-email YU MIAO

Abstract

In the present paper, the asymptotic properties of the minimum $L_1$-norm estimator of the drift parameter for mixed fractional Ornstein-Uhlenbeck type process satisfying a linear stochastic differential equation driven by a mixed fractional Brownian motion are obtained.