Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes
This paper proposes estimators for the parameters of an explosive fractional Ornstein-Uhlenbeck process. The asymptotic properties for the diffusion estimators are developed under the in-fill asymptotic scheme, while the asymptotic properties for the drift estimators are developed under the double a...
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| Main Authors: | , , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2675 https://ink.library.smu.edu.sg/context/soe_research/article/3674/viewcontent/ExplosiveFOU_V22.pdf |
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| Institution: | Singapore Management University |
| Language: | English |