Mathematics – Probability
Scientific paper
2012-02-22
Mathematics
Probability
arXiv admin note: text overlap with arXiv:1102.5491
Scientific paper
Let $\theta>0$. We consider a one-dimensional fractional Ornstein-Uhlenbeck process defined as $dX_t= -\theta\ X_t dt+dB_t,\quad t\geq0,$ where $B$ is a fractional Brownian motion of Hurst parameter $H\in(1/2,1)$. We are interested in the problem of estimating the unknown parameter $\theta$. For that purpose, we dispose of a discretized trajectory, observed at $n$ equidistant times $t_i=i\Delta_{n}, i=0,...,n$, and $T_n=n\Delta_{n}$ denotes the length of the `observation window'. We assume that $\Delta_{n} \rightarrow 0$ and $T_n\rightarrow \infty$ as $n\rightarrow \infty$. As an estimator of $\theta$ we choose the least squares estimator (LSE) $\hat{\theta}_{n}$. The consistency of this estimator is established. Explicit bounds for the Kolmogorov distance, in the case when $H\in(1/2,3/4)$, in the central limit theorem for the LSE $\hat{\theta}_{n}$ are obtained. These results hold without any kind of ergodicity on the process $X$.
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