Minimum L1-norm estimation for fractional Ornstein-Uhlenbeck process driven by a Gaussian process
B. L. S. Prakasa Rao
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B. L. S. Prakasa Rao
文献摘要
We investigate the asymptotic properties of the minimum L1-norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process driven by a general Gaussian process.