Open AccessParameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of MomentsOpen AccessAuthor(s)
Hamidreza Maleki Almani,
Tommi Sottinen
Publication year2024
We develop the generalized method of moments (GMM) estimation for theparameters of the finitely mixed multi-mixed fractional Ornstein--Uhlenbeck(mmfOU) processes, and analyze the consistency and asymptotic normality of thisestimator. We also include some simulations and provide numerical observationsconsidering different statistical errors.
Language(s)English
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