混合分数O-U过程的最小范数估计

MINIMUM NORM ESTIMATION FOR MIXED FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS

本文研究混合分数O-U过程的最小范数估计问题.利用分数布朗运动驱动的随机微分方程偏差不等式,获得了混合分数O-U过程漂移参数的最小范数估计、相合性及渐近分布.

The minimum norm estimation for mixed fractional Ornstein-Uhlenbeck type process is studied. By using deviation inequalities of fractional Brownian motion, some asymptotic properties of the minimum norm estimator of the drift parameter for mixed fractional Ornstein- Uhlenbeck type process are obtained.