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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.

Viện Toán học, Viện Hàn lâm Khoa học và Công nghệ Việt Nam

Địa chỉ: Số 18 đường Hoàng Quốc Việt, quận Cầu Giấy, Hà Nội

Điện thoại: 024 37563474 - Fax: 024 37564303

Email: vientoan@math.ac.vn

Mã bưu điện: 10072

Viện Hàn lâm Khoa học và Công nghệ Việt Nam Hội Toán học Việt Nam Viện Nghiên cứu Cao cấp về toán

Acta Mathematica Vietnamica

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MINIMUM L1-NORM ESTIMATION FOR MIXED FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS

Abstract

MINIMUM $L_{1}$ -NORM ESTIMATION FOR MIXED FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS