Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation |
| |
Authors: | Weilin Xiao Weiguo Zhang Weidong Xu |
| |
Institution: | 1. School of Business Administration, South China University of Technology, Guangzhou 510640, P.R. China;2. Department of Accounting and Finance, School of Management, Zhejiang University, Hangzhou 310006, P.R. China |
| |
Abstract: | This paper deals with the problem of estimating the parameters for fractional Ornstein–Uhlenbeck processes from discrete observations when the Hurst parameter H is known. Both the drift and the diffusion coefficient estimators of discrete form are obtained based on approximating integrals via Riemann sums with Hurst parameter H ∈ (1/2, 3/4). By adapting the stochastic integral representation to the fractional Brownian motion, these two estimators can be efficiently computed by the use of computer software. Numerical examples are presented to examine the performance of our method. An application to real data is also presented to show how to apply this method in practice. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|