|
Least squares estimator for the parameter of fractional Ornstein-Uhlenbeck sheet| old_uid | 10538 |
|---|
| title | Least squares estimator for the parameter of fractional Ornstein-Uhlenbeck sheet |
|---|
| start_date | 2011/12/09 |
|---|
| schedule | 11h |
|---|
| online | no |
|---|
| summary | We study the least square estimator for the drift parameter of the fractional Ornstein-Uhlenbeck sheet wich is defined as the solution of a Langevin equation driven by a fractional Brownian sheet with Hurst parameters bigger than one half. Using the properties of multiple Wiener-Itô integrals we prove that the estimator is strongly consistent for the parameter estimated. |
|---|
| responsibles | Bardet, Cottrell |
|---|
| |
|