LEAST SQUARES ESTIMATION FOR ORNSTEIN-UHLENBECK PROCESSES DRIVEN BY THE WEIGHTED FRACTIONAL BROWNIAN MOTION  

作　　者：申广君 尹修伟 闫理坦 

机构地区：[1]Department of Mathematics, Anhui Normal University [2]Department of Mathematics, Donghua University

出　　处：《Acta Mathematica Scientia》2016年第2期394-408,共15页数学物理学报（B辑英文版）

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)

摘　　要：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.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.

关 键 词：Weighted fractional Brownian motion least squares estimator Ornstein-Uhl-enbeck process 

分 类 号：O211.6[理学—概率论与数理统计]