Least squares estimator for the parameter ...
Document type :
Compte-rendu et recension critique d'ouvrage
Title :
Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet
Author(s) :
Clarke de La Cerda, Jorge [Auteur]
Tudor, Ciprian [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Tudor, Ciprian [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Journal title :
Journal of the Korean Statistical Society
Pages :
341 - 350
Publisher :
Elsevier
Publication date :
2012
ISSN :
1226-3192
English keyword(s) :
Multiple Wiener–Itô integrals
Strong consistency
Fractional Brownian sheet
Parameter estimation
Strong consistency
Fractional Brownian sheet
Parameter estimation
HAL domain(s) :
Mathématiques [math]/Probabilités [math.PR]
Statistiques [stat]
Statistiques [stat]
English abstract : [en]
We will study the least square estimator $\widehat{\theta }_{T,S}$ for the drift parameter $\theta$ of the fractional Ornstein-Uhlenbeck sheet which is defined as the solution of the Langevin equation \begin{equation*} ...
Show more >We will study the least square estimator $\widehat{\theta }_{T,S}$ for the drift parameter $\theta$ of the fractional Ornstein-Uhlenbeck sheet which is defined as the solution of the Langevin equation \begin{equation*} X_{t,s}= -\theta \int^{t}_{0} \int^{s}_{0} X_{v,u}dvdu + B^{\alpha, \beta}_{t,s}, \qquad (t,s) \in [0,T]\times [0,S]. \end{equation*} driven by the fractional Brownian sheet $B^{\alpha ,\beta}$ with Hurst parameters $\alpha, \beta$ in $(\frac{1}{2}, \frac{5}{8})$. Using the properties of multiple Wiener-Itô integrals we prove that the estimator is strongly consistent for the parameter $\theta$. In contrast to the one-dimensional case, the estimator $\widehat{\theta}_{T,S}$ is not asymptotically normal.Show less >
Show more >We will study the least square estimator $\widehat{\theta }_{T,S}$ for the drift parameter $\theta$ of the fractional Ornstein-Uhlenbeck sheet which is defined as the solution of the Langevin equation \begin{equation*} X_{t,s}= -\theta \int^{t}_{0} \int^{s}_{0} X_{v,u}dvdu + B^{\alpha, \beta}_{t,s}, \qquad (t,s) \in [0,T]\times [0,S]. \end{equation*} driven by the fractional Brownian sheet $B^{\alpha ,\beta}$ with Hurst parameters $\alpha, \beta$ in $(\frac{1}{2}, \frac{5}{8})$. Using the properties of multiple Wiener-Itô integrals we prove that the estimator is strongly consistent for the parameter $\theta$. In contrast to the one-dimensional case, the estimator $\widehat{\theta}_{T,S}$ is not asymptotically normal.Show less >
Language :
Anglais
Popular science :
Non
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