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Minimum Contrast Estimation in Fractional Ornstein-Uhlenbeck Driven by Fractional Ornstein-Uhlenbeck Process

Year: 2025

Type: article

Abstract: We generalize fractional Ornstein-Uhlenbeck process whose driving term is another fractional Ornstein-Uhlenbeck process. The motivation is related to stochastic volatility model. We estimate the parameters of both processes by maximum likelihood method and minimum contrast method. We obtain strong consistency and asymptotic normality of the estimators as the time length of observation becomes large. KEYWORDS: Stochastic differential equation, fractional Brownian motion, fractional Ornstein-Uhlenbeck process, correlation, volatility, maximum likelihood estimator, minimum contrast estimator, Durbin-Watson statistic.

Source: Asian Journal of Statistics and Applications

DOI: 10.47509/ajsa.2025.v02i01.04

Author: Jaya P. N. Bishwal

Institution: University of North Carolina at Charlotte

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W4411111892

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