A Note On Inference for the Mixed Fractional Ornstein-Uhlenbeck Process with Drift (2009.03757v2)

Published 8 Sep 2020 in math.ST, math.PR, and stat.TH

Abstract: This paper is devoted to parameter estimation of the mixed fractional Ornstein-Uhlenbeck process with a drift. Large sample asymptotical properties of the Maximum Likelihood Estimator is deduced using the Laplace transform computations or the Cameron-Martin formula with extra part from \cite{CK19}