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带线性自排斥漂移项的分数O-U过程的统计推断
Statistical Inference on the Fractional Ornstein-Uhlenbeck Process with the Linear Self-Repelling Drift

DOI: 10.12677/AAM.2023.125229, PP. 2235-2254

Keywords: 分数布朗运动，自排斥扩散，最小二乘估计
Fractional Brownian Motion, Self-Repelling Diffusions, Least Squares Estimation

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Abstract:

本文旨在利用最小二乘法研究带线性自排斥漂移项的分数O-U过程的统计推断。 假设BH=\"\"是Hurst 指数为\"\"的分数布朗运动，我们考虑下列方程，\"\"其中,\"\" , θ < 0 和σ, ν ∈ R 是三个参数。 这个过程是自吸引扩散的模拟(见Cranston and Le Jan, Math. Ann. 303 (1995), 87-93)，我们主要的目标是研究其参数的最小二乘估计。
This dissertation aim is to study statistical inference on the fractional Ornstein- Uhlenbeck process with the linear self-attracting drift by least squares estimation. Let BH=\"\" be a fractional Brownian motion with Hurst index \"\" . We consider the following equation\"\", with \"\", where θ < 0 and σ, ν ∈ R are three parameters. The process is an analogue of the self-attracting diffusion (Cranston and Le Jan, Math. Ann. 303 (1995), 87-93). Our main aim is to study the least squares estimations of its parameters.

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