论文标题
在连续观测下，渐近粗糙的粗糙分数Ornstein-uhlenbeck过程的渐近有效估计
Asymptotically Efficient Estimation of Ergodic Rough Fractional Ornstein-Uhlenbeck Process under Continuous Observations
论文作者
论文摘要
我们考虑在连续观察结果下，在连续观察的厄尔贡分数ornstein-uhlenbeck过程中渐近有效估计的问题，当hurst参数$ h <1/2 $及其固定分布的平均值不等于零时。在本文中，我们得出了漂移参数的渐近效率和估计量的差异，并证明了漂移参数的最大似然估计量的渐近效率。
We consider the problem of asymptotically efficient estimation of drift parameters of the ergodic fractional Ornstein-Uhlenbeck process under continuous observations when the Hurst parameter $H<1/2$ and the mean of its stationary distribution is not equal to zero. In this paper, we derive asymptotically efficient rates and variances of estimators of drift parameters and prove an asymptotic efficiency of a maximum likelihood estimator of drift parameters.
