THE LEAST SQUARES ESTIMATOR FOR AN ORNSTEIN-UHLENBECK PROCESS DRIVEN BY A HERMITE PROCESS WITH A PERIODIC MEAN |
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| Authors: | Guangjun SHEN Qian YU Zheng TANG |
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| Affiliation: | (Department of Mathematics,Anhui Normal University,Wuhu 241000,China;School of Statistics,East China Normal University,Shanghai 200062,China;School of Mathematics and Finance,Chuzhou Universty,Chuzhou 239012,China) |
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| Abstract: | We consider the least square estimator for the parameters of Ornstein-Uhlenbeck processes dYs =(κ∑j=1μjφj(s)-βYs)ds + dZqs,H,driven by the Hermite process Zqs,H... |
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