In this paper, we study the asymptotic properties for the drift parameter estimators in the
fractional Ornstein-Uhlenbeck process with periodic mean function and long range …

The present book is devoted to parameter estimation in diffusion continuous-time models
involving fractional Brownian motion and related processes. Our models extend and …

Abstract Generalizations of the Ornstein–Uhlenbeck process defined through Langevin
equations, such as fractional Ornstein–Uhlenbeck processes, have recently received a lot of …

We study the Langevin equation with stationary-increment Gaussian noise. We show the
strong consistency and the asymptotic normality with Berry–Esseen bound of the so-called …

We consider the fractional Ornstein–Uhlenbeck process with an unknown drift parameter
and known Hurst parameter H. We propose a new method to test the hypothesis of the sign …

We construct the least-square estimator for the unknown drift parameter in the multifractional
Ornstein–Uhlenbeck model and establish its strong consistency in the non-ergodic case …

In this paper, we consider the self-normalized asymptotic properties of the parameter
estimators in the fractional Ornstein–Uhlenbeck process. The deviation inequalities, Cramér …

ASYMPTOTIC PROPERTIES OF PARAMETER ESTIMATORS IN FRACTIONAL VASICEK
MODEL Stanislav Lohvinenko1, Kostiantyn Ralchenko2, Olga Zhu Page 1 Lithuanian Journal of …

While the statistical inference of first-order autoregressive processes driven by independent
and identically distributed noises has a long history, the statistical analysis for first-order …

We investigate the fractional Vasicek model described by the stochastic differential equation
$ d {X_ {t}}=(\alpha-\beta {X_ {t}})\hspace {0.1667 em} dt+\gamma\hspace {0.1667 em} d {B …