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Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments

Published 10 Jan 2024 in math.ST, math.PR, and stat.TH | (2401.05114v1)

Abstract: We develop the generalized method of moments (GMM) estimation for the parameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck (mmfOU) processes, and analyze the consistency and asymptotic normality of this estimator. We also include some simulations and provide numerical observations considering different statistical errors.

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