Statistical analysis of the non-ergodic fractional Ornstein–Uhlenbeck process with periodic mean

Rachid Belfadli; Khalifa Es-Sebaiy; Fatima-Ezzahra Farah

doi:10.1007/s00184-021-00854-x

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Statistical analysis of the non-ergodic fractional Ornstein–Uhlenbeck process with periodic mean

Rachid Belfadli Khalifa Es-Sebaiy Fatima-Ezzahra Farah

Year: 2022 Journal: Metrika Vol: 85 (7)Pages: 885-911 Publisher: Springer Science+Business Media

DOI: 10.1007/s00184-021-00854-x

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Keywords:

Ergodic theory Mathematics Ornstein–Uhlenbeck process Fractional Brownian motion Combinatorics Hurst exponent Estimator Wiener process Brownian motion Mathematical analysis Stochastic process Statistics

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Statistical analysis of the non-ergodic fractional Ornstein–Uhlenbeck process with periodic mean

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