Minimum $L_1$-norm estimation for fractional Ornstein-Uhlenbeck process driven by a Gaussian process
B. L. S. Prakasa Rao·2022-08-09·via math.PR updates on arXiv.org
We investigate the asymptotic properties of the minimum $L_1$-norm estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process driven by a general Gaussian process.