Electronic Journal of Statistics

Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process

Alexander Kukush, Yuliya Mishura, and Kostiantyn Ralchenko

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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 $H\in(0,1)$.

Article information

Electron. J. Statist. Volume 11, Number 1 (2017), 385-400.

Received: September 2016
First available in Project Euclid: 13 February 2017

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Zentralblatt MATH identifier

Primary: 60G22: Fractional processes, including fractional Brownian motion 62F03: Hypothesis testing 62F05: Asymptotic properties of tests

Fractional Brownian motion fractional Ornstein–Uhlenbeck process hypothesis testing

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Kukush, Alexander; Mishura, Yuliya; Ralchenko, Kostiantyn. Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process. Electron. J. Statist. 11 (2017), no. 1, 385--400. doi:10.1214/17-EJS1237. https://projecteuclid.org/euclid.ejs/1486976417

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