LAN Property for the Drift and Hurst Paramters in The Mixed Fractional O-U Process with Continuous Observations
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866908602733690880 |
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| author | Cai, Chunhao Zhang, Cong |
| author_facet | Cai, Chunhao Zhang, Cong |
| contents | This paper deals with the Local Asymptotical normality for the joint drift parameter and Hurst parameter $H>3/4$ in the mixed fractional Ornstein-Uhlenbeck process. Different from the only estimation of the drift parameter when $H$ is known, we will use the fact that the mixed fractional Brownian motion is a semimartingale with its own filtering when $H>3/4$. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_17233 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | LAN Property for the Drift and Hurst Paramters in The Mixed Fractional O-U Process with Continuous Observations Cai, Chunhao Zhang, Cong Probability This paper deals with the Local Asymptotical normality for the joint drift parameter and Hurst parameter $H>3/4$ in the mixed fractional Ornstein-Uhlenbeck process. Different from the only estimation of the drift parameter when $H$ is known, we will use the fact that the mixed fractional Brownian motion is a semimartingale with its own filtering when $H>3/4$. |
| title | LAN Property for the Drift and Hurst Paramters in The Mixed Fractional O-U Process with Continuous Observations |
| topic | Probability |
| url | https://arxiv.org/abs/2510.17233 |