Abstract
We consider the fractional Ornstein–Uhlenbeck process with an unknown drift parameter and known Hurst parameter $H$. We propose a new method to test the hypothesis of the sign of the parameter and prove the consistency of the test. Contrary to the previous works, our approach is applicable for all $H\in(0,1)$.
Citation
Alexander Kukush. Yuliya Mishura. Kostiantyn Ralchenko. "Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process." Electron. J. Statist. 11 (1) 385 - 400, 2017. https://doi.org/10.1214/17-EJS1237
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