摘要
This paper proposes a minimum contrast methodology to estimate the drift parameter for the Ornstein-Uhlenbeck process driven by fractional Brownian motion of Hurst index, which is greater than one half. Both the strong consistency and the asymptotic normality of this minimum contrast estimator are studied based on the Laplace transform. The numerical simulation results confirm the theoretical analysis and show that the minimum contrast technique is effective and efficient.
This paper proposes a minimum contrast methodology to estimate the drift parameter for the Ornstein-Uhlenbeck process driven by fractional Brownian motion of Hurst index, which is greater than one half. Both the strong consistency and the asymptotic normality of this minimum contrast estimator are studied based on the Laplace transform. The numerical simulation results confirm the theoretical analysis and show that the minimum contrast technique is effective and efficient.
基金
National Science Fund for Distinguished Young Scholars of China (Grant No. 70825005)
National Natural Science Foundation of China (Grant No. 71171086)
Natural Science Foundation of Guangdong Province of China (Grant No. S2011040005723)
the Fundamental Research Funds for the Central Universities, SCUT (2012ZM0029)
supported by GDUPS(2010)
