Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process

作者：Shen, Liang; Xu, Qingsong^*

来源：Advances in Difference Equations, 2014, 2014(1): 75.

DOI：10.1186/1687-1847-2014-75

• fractional Ornstein-Uhlenbeck process
• minimum L-1-norm estimator
• fractional Brownian motion
• asymptotic law

We consider the minimum L-1-norm estimator theta(epsilon)* of the parameter theta of a linear stochastic differential equation dX(t) = theta X-t dt + epsilon dB(t)(H), X-0 = x(0), where {B-t(H), 0 <= t <= T} is a fractional Brownian motion. The asymptotic law of its limit distribution is studied for T -> +infinity, when epsilon -> 0.

• 出版日期2014-2-25
• 单位中南大学