Prakasa Rao, B. L. S. (2005) Minimum L1 -norm estimation for fractional Ornstein-Uhlenbeck type process Theory of Probability and Mathematical Statistics, 71 . pp. 181-189. ISSN 0094-9000
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Official URL: http://www.ams.org/journals/tpms/2005-71-00/S0094-...
Related URL: http://dx.doi.org/10.1090/S0094-9000-05-00657-5
Abstract
We investigate the asymptotic properties of the minimum L1-norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process satisfying a linear stochastic differential equation driven by a fractional Brownian motion.
| Item Type: | Article |
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| Source: | Copyright of this article belongs to American Mathematical Society. |
| ID Code: | 37894 |
| Deposited On: | 26 Apr 2011 12:48 |
| Last Modified: | 17 May 2016 20:48 |
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