Least squares estimator for the parameter of fractional Ornstein-Uhlenbeck sheet.

Jorge Andrés Clarke De la Cerda (Universidad de Concepción, Chili)
vendredi 9 décembre 2011

Résumé : We study the least square estimator for the drift parameter of the fractional Ornstein-Uhlenbeck sheet wich is defined as the solution of a Langevin equation driven by a fractional Brownian sheet with Hurst parameters bigger than one half. Using the properties of multiple Wiener-Itô integrals we prove that the estimator is strongly consistent for the parameter estimated.


Cet exposé se tiendra en salle C20-13, 20ème étage, Université Paris 1, Centre Pierre Mendès-France, 90 rue de Tolbiac, 75013 Paris (métro : Olympiades).


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