Asymptotically efficient estimation for fractional Ornstein-Uhlenbeck processes under high-frequency observations
Conference
65th ISI World Statistics Congress 2025
Format: IPS Abstract - WSC 2025
Monday 6 October 2 p.m. - 3:40 p.m. (Europe/Amsterdam)
Abstract
Local Asymptotic Normality property for the fractional Ornstein-Uhlenbeck process under high-frequency observations is proved. A novel sharp error bounds for the cumulants of Gaussian
quadratic forms plays a key role in the proof. As a consequence, efficient rates for the joint estimation of all parameters are given and the maximum likelihood sequence of estimators is shown to be asymptotically efficient.