Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process (original) (raw)

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 ∈ (0, 1).

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