数学物理学报(英文版) ›› 2016, Vol. 36 ›› Issue (2): 394-408.doi: 10.1016/S0252-9602(16)30008-X

• 论文 • 上一篇    下一篇

LEAST SQUARES ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESSES DRIVEN BY THE WEIGHTED FRACTIONAL BROWNIAN MOTION

申广君1, 尹修伟1, 闫理坦2   

  1. 1. Department of Mathematics, Anhui Normal University, Wuhu 241000, China;
    2. Department of Mathematics, Donghua University, Shanghai 201620, China
  • 收稿日期:2014-02-18 修回日期:2015-04-28 出版日期:2016-04-25 发布日期:2016-04-25
  • 通讯作者: Guangjun SHEN,E-mail:gjshen@163.com E-mail:gjshen@163.com
  • 作者简介:Xiuwei YIN,E-mail:xweiyin@163.com;Litan YAN,E-mail:litanyan@dhu.edu.cn
  • 基金资助:

    Guangjun Shen was supported by the National Natural Science Foundation of China (11271020), the Distinguished Young Scholars Foundation of Anhui Province (1608085J06). Litan Yan was supported by the National Natural Science Foundation of China (11171062).

LEAST SQUARES ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESSES DRIVEN BY THE WEIGHTED FRACTIONAL BROWNIAN MOTION

Guangjun SHEN1, Xiuwei YIN1, Litan YAN2   

  1. 1. Department of Mathematics, Anhui Normal University, Wuhu 241000, China;
    2. Department of Mathematics, Donghua University, Shanghai 201620, China
  • Received:2014-02-18 Revised:2015-04-28 Online:2016-04-25 Published:2016-04-25
  • Supported by:

    Guangjun Shen was supported by the National Natural Science Foundation of China (11271020), the Distinguished Young Scholars Foundation of Anhui Province (1608085J06). Litan Yan was supported by the National Natural Science Foundation of China (11171062).

摘要:

In this article, we study a least squares estimator (LSE) of θ for the Ornstein-Uhlenbeck process X0=0, dXt=θXtdt+dBta, b, t≥0 driven by weighted fractional Brownian motion Ba, b with parameters a, b. We obtain the consistency and the asymptotic distribution of the LSE based on the observation {Xs, s ∈[0, t]} as t tends to infinity.

关键词: Weighted fractional Brownian motion, least squares estimator, Ornstein-Uhl-enbeck process

Abstract:

In this article, we study a least squares estimator (LSE) of θ for the Ornstein-Uhlenbeck process X0=0, dXt=θXtdt+dBta, b, t≥0 driven by weighted fractional Brownian motion Ba, b with parameters a, b. We obtain the consistency and the asymptotic distribution of the LSE based on the observation {Xs, s ∈[0, t]} as t tends to infinity.

Key words: Weighted fractional Brownian motion, least squares estimator, Ornstein-Uhl-enbeck process

中图分类号: 

  • 60G15