{
  "id": "1604.02645",
  "version": "v1",
  "published": "2016-04-10T07:00:22.000Z",
  "updated": "2016-04-10T07:00:22.000Z",
  "title": "Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process",
  "authors": [
    "Alexander Kukush",
    "Yuliya Mishura",
    "Kostiantyn Ralchenko"
  ],
  "comment": "15 pages",
  "categories": [
    "math.PR"
  ],
  "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 $H\\in(0,1)$. We also study the estimators for drift parameter for continuous and discrete observations and prove their strong consistency for all $H\\in(0,1)$.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-04-10T07:00:22.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G22",
      "62F03",
      "62F05",
      "62F10",
      "62F12"
    ],
    "keywords": [
      "fractional ornstein-uhlenbeck process",
      "drift parameter sign",
      "hypothesis testing",
      "unknown drift parameter",
      "strong consistency"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 15,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2016arXiv160402645K"
    }
  }
}