Statistical Inference in Fractional Poisson Ornstein-Uhlenbeck Process

12/14/2017
by   Héctor Araya, et al.
0

In this article, we study the problem of parameter estimation for a discrete Ornstein - Uhlenbeck model driven by Poisson fractional noise. Based on random walk approximation for the noise, we study least squares and maximum likelihood estimators. Thus, asymptotic behaviours of the estimator is carried out, and a simulation study is shown to illustrate our results.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset