Yaozhong Hu
University of Kansas
Title: Parameter estimation for Ornstein-Uhlenbeck process driven by fractional Brownian motion
We study a least squares estimator for the Ornstein-Uhlenbeck process driven by fractional Brownian motion $B^H$ with Hurst parameter $H\ge \frac12$. The process is observed in continuous time. We prove the strong consistence of this estimator (the almost surely convergence). We also obtain the rate of this convergence when $H \in [1/2, 3/4)$, applying a central limit theorem for multiple Wiener integrals. This least squares estimator can be used to study other more simulation friendly estimators which will also be presented.
©2010, Department of Mathematical Sciences
Last Modified: February 26, 2009