Drift parameter estimation for tempered fractional Ornstein–Uhlenbeck processes based on discrete observations
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© 2026 The Author(s). Published by VTeX. Open access article under the CC BY license.
The problem of estimating the drift parameter is considered for an Ornstein–Uhlenbeck-type process driven by a tempered fractional Brownian motion (tfBm) or tempered fractional Brownian motion of the second kind (tfBmII). Unlike most existing studies, which assume continuous-time observations, a more realistic setting of discrete-time data is in focus. The strong consistency of a discretized least squares estimator is established under an asymptotic regime where the observation interval tends to zero while the total time horizon increases. A key step in the analysis involves deriving almost sure upper bounds for the increments of both tfBm and tfBmII.
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ISSN
2351-6054
2351-6046
2351-6046
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Kausijulkaisu
Modern stochastics : theory and applications|13
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A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä (vertaisarvioitu)