In this article, we study a least squares estimator （LSE） of θ for the Ornstein- Uhlenbeck process X0=0,dXt=θXtdt＋dBt^ab, t ≥ 0 driven by weighted fractional Brownian motion B^a,b with parameters a, b. We obtain...In this article, we study a least squares estimator （LSE） of θ for the Ornstein- Uhlenbeck process X0=0,dXt=θXtdt＋dBt^ab, t ≥ 0 driven by weighted fractional Brownian motion B^a,b with parameters a, b. We obtain the consistency and the asymptotic distribution of the LSE based on the observation {Xs, s∈[0,t]} as t tends to infinity.展开更多
基金supported by the National Natural Science Foundation of China(11271020)the Distinguished Young Scholars Foundation of Anhui Province(1608085J06)supported by the National Natural Science Foundation of China(11171062)
文摘In this article, we study a least squares estimator （LSE） of θ for the Ornstein- Uhlenbeck process X0=0,dXt=θXtdt＋dBt^ab, t ≥ 0 driven by weighted fractional Brownian motion B^a,b with parameters a, b. We obtain the consistency and the asymptotic distribution of the LSE based on the observation {Xs, s∈[0,t]} as t tends to infinity.
