A Note On Inference for the Mixed Fractional Ornstein-Uhlenbeck Process with Drift

2020/09/08 by Cai, Chunhao, Zhang, Min
#FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2009.03757

Abstract

This paper is devoted to parameter estimation of the mixed fractional Ornstein-Uhlenbeck process with a drift. Large sample asymptotical properties of the Maximum Likelihood Estimator is deduced using the Laplace transform computations or the Cameron-Martin formula with extra part from \citeCK19

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