Parameter estimation of tempered fractional Ornstein-Uhlenbeck financial model
In order to describe the long-range dependence and self-similarity of financial asset price process,this paper first constructs a fractional Ornstein-Uhlenbeck(O-U)model driven by tempered fractional Brownian motion.Because tem-pered fractional Brownian motion is a generalization of fractional Brownian motion,the model constructed has more extensive applications.Based on discrete observation samples,the estimator for the model of the drift parameter is obtained by using the least square method,the consistency of the estimator is proved,and the asymptotic distribution of the estimator is given.Final-ly,the simulation shows the finite sample property of the estimator,and the simulation results show that the estimator is ef-fective.
least squares estimationtempered fractional Brownian motionOrnstein-Uhlenbeck processconsistencyasymptotic distribution
万方数据
维普
