Minimum L₁-norm estimation for fractional Ornstein-Uhlenbeck process driven by a Gaussian process

2022/08/08 by Б. Л. С. Пракаса Рао, Rao, B. L. S. Prakasa
Decision Sciences · Economics, Econometrics and Finance · #60G22 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2208.04366

openalex publication_date 2022/08/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We investigate the asymptotic properties of the minimum L₁-norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process driven by a general Gaussian process.

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