Almost sure central limit theorems for random ratios and applications to LSE for fractional Ornstein-Uhlenbeck processes

• Autorzy: Cénac P. , Es-Sebaiy K.
• Języki publikacji: EN

Abstrakty

EN

We will investigate an almost sure central limit theorem (ASCLT) for sequences of random variables having the form of a ratio of two terms such that the numerator satisfies the ASCLT and the denominator is a positive term which converges almost surely to one. This result leads to the ASCLT for least squares estimators for Ornstein-Uhlenbeck proces driven by fractional Brownian motion.

Słowa kluczowe

EN

almost sure central limit theorem; least squares estimator; fractional Ornstein-Uhlenbeck process; multiple stochastic integrals

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2015
• Tom: Vol. 35, Fasc. 2
• Strony: 285--300
• Opis fizyczny: Bibliogr. 16 poz.

Twórcy

autor

Cénac P.

• Institut de Mathématiques de Bourgogne, Université de Bourgogne, 9 Rue Alain Savary, 21078 Dijon, France

autor

Es-Sebaiy K.

• National School of Applied Sciences – Marrakesh, Cadi Ayyad University, Av. Abdelkarim Khattabi, Gueliz, Marrakesh, Morocco

Bibliografia

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).