申广君 | Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Levy processes with periodic mean

时间:2018-12-05浏览:10设置

时间:2018年12月7号(星期五)下午14:00-15:00
地点:法商南楼135(闵行校区)

题目:Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Levy processes with periodic mean

报告人:申广君 安徽师范大学数学与统计学院
摘要:In this paper, we deal with the least squares estimator for the drift parameters of an Ornstein-Uhlenbeck process with periodic mean function driven by fractional Levy process. For this estimator, we obtain consistency and the asymptotic distribution. In contrast to the fractional Ornstein-Uhlenbeck and the Ornstein-Uhlenbeck driven by Levy process, they can be regarded both as a Levy generalization of fractional Brownian motion and a fractional generalization of Levy process.

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