'Estimation problems associated with the fractional O-U process in the ergodic and non-ergodic cases'

Economics

Speaker:Katsuto Tanaka, Gakushuin University
Date: Wednesday 5 September 2018
Time: 1.30pm
Location: Bateman Lecture Theatre

Further details

We discuss the estimation problem on the drift parameter in the fractional O-U process, assuming that the Hurst index H is known. We deal with both the ergodic and non-ergodic cases, for which we compute the distribution of the MLE by paying attention to the influence of H and the sampling span M. We shall also derive the asymptotic distribution of the MLE as M becomes large.