Hypothesis testing of the drift parameter sign for fractional\n Ornstein-Uhlenbeck process

2016/04/10 by Alexander Kukush, Kukush, Alexander, Yuliya Mishura +3
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60G22 #62F03 #62F05 #62F10 #62F12 #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Statistical Distribution Estimation and Applications #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1604.02645

openalex publication_date 2016/04/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We consider the fractional Ornstein-Uhlenbeck process with an unknown drift\nparameter and known Hurst parameter H. We propose a new method to test the\nhypothesis of the sign of the parameter and prove the consistency of the test.\nContrary to the previous works, our approach is applicable for all H\∈(0,1).\nWe also study the estimators for drift parameter for continuous and discrete\nobservations and prove their strong consistency for all H\∈(0,1).\n

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