Estimation of all parameters in the fractional Ornstein–Uhlenbeck model under discrete observations
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DOI: 10.1007/s11203-020-09235-z
Abstract: Let the Ornstein–Uhlenbeck process $$(X_t)_{t\ge 0}$$ ( X t ) t ≥ 0 driven by a fractional Brownian motion $$B^{H }$$ B H described by $$dX_t = -\theta X_t dt + \sigma dB_t^{H }$$ d… read more here.
Keywords: estimation parameters; ornstein uhlenbeck; fractional ornstein; parameters fractional ... See more keywords