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José Igor Morlanes: Drift parameter in a Langevin type equation

José Igor Morlanes, Statistiska institutionen, Stockholm university

Time: Wed 2013-04-24 13.00 - 14.00

Location: Room B705, Department of statistics, Stockholm university

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We study an estimation problem of drift parameter in a Langevin type equation with fractional Ornstein-Uhlenbeck process of the second kind with Hurst parameter H>1/2 as its solution. We prove that the least squares estimator introduced in, Statist. Probab. Lett. 80, no. 11-12, 1030-1038, provides a consistent estimator. Moreover, using multiple Wiener integrals technique, we prove a central limit theorem.  

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