Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean

By Herold G. Dehling, B. Franke, Jeannette H. C. Woerner. 2015

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We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck process with periodic mean function and long range dependence. For this estimator we prove consistency and asymptotic normality. In contrast to the classical fractional Ornstein Uhlenbeck process without periodic mean function the rate of convergence is slower depending on the Hurst parameter H, namely $$n^{1-H}$$n1-H.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c3b137cf391a479fb6dc0738f37b64fdee1e52a7