Work

Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise

Year: 2017

Type: article

Abstract: We obtain strong consistency and asymptotic normality of a least squares estimator of the drift coefficient for complex-valued Ornstein-Uhlenbeck processes disturbed by fractional noise, extending the result of Y. Hu and D. Nualart, [Statist. Probab. Lett., 80 (2010), 1030-1038] to a special 2-dimensions. The strategy is to exploit the Garsia-Rodemich-Rumsey inequality and complex fourth moment theorems. The main ingredients of this paper are the sample path regularity of a multiple Wiener-Ito integral and two equivalent conditions of complex fourth moment theorems in terms of the contractions of integral kernels and complex Malliavin derivatives.

Source: Latin American Journal of Probability and Mathematical Statistics

DOI: 10.30757/alea.v14-30

Authors: Yong Chen, Yaozhong Hu, Zhi Wang

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: China Scholarship Council, Natural Science Foundation of Zhejiang Province

Award: G5054927999

OpenAlex ID: W3000257789

FWCI: 1.895

Cites: 10

Cited by: 21

Related to: 10