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Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process

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 نشر من قبل Pavel Chigansky
 تاريخ النشر 2015
  مجال البحث
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This paper addresses the problem of estimating drift parameter of the Ornstein - Uhlenbeck type process, driven by the sum of independent standard and fractional Brownian motions. The maximum likelihood estimator is shown to be consistent and asymptotically normal in the large-sample limit, using some recent results on the canonical representation and spectral structure of mixed processes.



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