SMU SOE Seminar (Dec 28, 2018): Estimation Problems Associated with the Fractional O-U Process in the Ergodic and Non-ergodic Cases

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ABSTRACT We discuss the estimation problem on the drift parameter in the fractional O-U process, assuming that the Hurst index H is known. We deal with both the ergodic and non-ergodic cases, for which we compute the exact distribution of the MLE by paying attention to the influence of H and the sampling span M. We shall also derive the asymptotic distribution of the MLE as M becomes large. On the contrary, the exact computation of the LSE is much harder, for which we suggest an approximation on the basis of the Fredholm integral equation. Click here for more details about the speaker.
		PRESENTER Katsuto Tanaka Gakushuin University
		RESEARCH FIELDS Statistics Econometrics
		DATE: 28 December 2018 (Friday)
		TIME: 4pm - 5.30pm
		VENUE: Meeting Room 5.1, Level 5 School of Economics Singapore Management University 90 Stamford Road Singapore 178903