Work

Minimum $L_1$-norm estimation for fractional Ornstein–Uhlenbeck type process

Year: 2005

Type: article

Abstract: We investigate the asymptotic properties of the minimum $L_1$-norm estimator of the drift parameter for fractional Ornstein–Uhlenbeck type process satisfying a linear stochastic differential equation driven by a fractional Brownian motion.

Source: Theory of Probability and Mathematical Statistics

DOI: 10.1090/s0094-9000-05-00657-5

Author: B. L. S. Prakasa Rao

Institutions: University of Hyderabad, American Mathematical Society

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W1529679630

FWCI: 0.569

Cites: 22

Cited by: 18

Related to: 10