Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866911753925820416 |
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| author | Almani, Hamidreza Maleki Sottinen, Tommi |
| author_facet | Almani, Hamidreza Maleki Sottinen, Tommi |
| contents | We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the consistency and asymptotic normality of this estimator. We also include some simulations and provide numerical observations considering different statistical errors. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_05114 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments Almani, Hamidreza Maleki Sottinen, Tommi Statistics Theory Probability 60G10, 60G15, 60G22, 62M09 G.3 We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the consistency and asymptotic normality of this estimator. We also include some simulations and provide numerical observations considering different statistical errors. |
| title | Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments |
| topic | Statistics Theory Probability 60G10, 60G15, 60G22, 62M09 G.3 |
| url | https://arxiv.org/abs/2401.05114 |