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2021教授讲堂(第22期)申广君:Least squares estimator for Ornstein-Uhlenbeck process driven by Hermite process with periodic mean

日期:2021-10-11      来源:统计学院    [字体: ]

题 目:Least squares estimator for Ornstein-Uhlenbeck process driven by Hermite process with periodic mean

主讲人:申广君 教授

时 间:2021年10月14日(星期四)10:30--12:30

地 点:腾讯会议 ID:745 733 590

内 容:In this talk, we consider the least square estimator for the parameters of Ornstein-Uhlenbeck processes driven by the Hermite processes with periodic mean, where order q>1 and Hurst index H in (0.5,1). We establish the consistency of least squares estimation and obtain the asymptotic behavior for the estimator. We also introduce alternative estimators, which can be looked as an application of the least squares estimator. In comparison with the fractional Ornstein-Uhlenbeck processes with periodic mean, our work can be regarded as its non-Gaussian extension [joint work with Qian Yu and Zheng Tang].

报告人简介:申广君,理学博士、教授、博士生导师,安徽省学术和技术带头人,安徽师范大学文津学者。主要研究方向是随机分析和随机过程。主持两项国家自然科学基金面上项目和安徽省杰出青年科学基金等,在国际SCI期刊发表研究论文40余篇。

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