Minimum L₁ -norm estimation for fractional Ornstein-Uhlenbeck type process

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
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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Minimum L1 -norm estimation for fractional Ornstein-Uhlenbeck type process

Abstract

Minimum L₁ -norm estimation for fractional Ornstein-Uhlenbeck type process