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

2025/11/22 by Rao, B. L. S. Prakasa
Decision Sciences · Economics, Econometrics and Finance · #60G22 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Probability and Risk Models #Statistics Theory (math.ST) #Stochastic processes and financial applications

paper · doi:10.48550/arxiv.2511.17951

openalex publication_date 2025/11/22 · openalex created_date 2025/11/27 · 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 Hermite process.

Citations

• Inference for SDEs driven by Hermite processes
• Nonparametric estimation of linear multiplier in SDEs driven by general Gaussian processes
• Parameter estimation for an Ornstein-Uhlenbeck Process driven by a general Gaussian noise
• Contributions to the asymptotic study of Hermite driven processes
• Statistical inference for Vasicek-type model driven by Hermite processes
• Bounds for expected maxima of Gaussian processes and their discrete approximations

Related

• Minimum L₁-norm estimation for fractional Ornstein-Uhlenbeck process driven by a Gaussian process
• Berry-Esseen Type Bound for Fractional Ornstein-Uhlenbeck Type Process Driven by Sub-fractional Brownian Motion
• Estimating Drift Parameters in a Fractional Ornstein Uhlenbeck Process\n with Periodic Mean
• Berry-Esseen bound for the Parameter Estimation of Fractional Ornstein-Uhlenbeck Processes
• Drift parameter estimation for fractional Ornstein-Uhlenbeck process of\n the Second Kind