We present an asymptotic expansion formula of an estimator for the drift coefficient of the fractional Ornstein-Uhlenbeck process. As the machinery, we apply the general expansion scheme for Wiener functionals recently developed by the authors [26]. The central limit theorem in the principal part of the expansion has the classical scaling T^{1/2}. However, the asymptotic expansion formula is a complex in that the order of the correction term becomes the classical T^{-1/2} for H in (1/2,5/8), but T^{4H-3} for H in [5/8, 3/4).
翻译:本文给出了分数阶奥恩斯坦-乌伦贝克过程漂移系数估计量的渐近展开公式。作为技术手段,我们应用了作者最近发展的维纳泛函一般展开方案 [26]。展开主项的中心极限定理具有经典标度 T^{1/2}。然而,渐近展开公式具有复杂性:当 H 在 (1/2,5/8) 区间时,修正项阶数为经典 T^{-1/2};但当 H 在 [5/8, 3/4) 区间时,修正项阶数为 T^{4H-3}。