Drift estimation for fractional Ornstein-Uhlenbeck type processes with a periodic mean structure

Orateur: 
Radomyra Shevchenko
Affiliation: 
Fakultat fur Mathematik, LSIV, TU Dortmund
Dates: 
Mercredi, 23 Janvier, 2019 - 15:30 - 16:30
Résumé: 

We consider Ornstein-Uhlenbeck type processes with a periodic mean function driven by a fractional Brownian motion.We give a brief overview over several mean estimators in different settings, present a parametric estimator in the non-ergodic case and discuss its asymptotic properties.