Affiliations: Department of Mathematics and Statistics, University of North Carolina at Charlotte, 376 Fretwell Bldg, 9201 University City Blvd., Charlotte, NC 28223-0001, USA | E-mail: [email protected]
Correspondence:
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Corresponding author: Department of Mathematics and Statistics, University of North Carolina at Charlotte, 376 Fretwell Bldg, 9201 University City Blvd., Charlotte, NC 28223-0001, USA. E-mail: [email protected].
Abstract: First we study estimation of the drift parameter in the fractional Ornstein-Uhlenbeck process whose marginal distribution is Student t-distribution. We obtain Spearman’s correlation based estimator, quantile estimator and Brownian excursion based estimator of the drift parameter. Then we study method of moments estimator and quantile estimator in fractional inverse Gaussian and fractional gamma Ornstein-Uhlenbeck processes.
Keywords: Fractional Brownian motion, fractional student process, fractional Levy Ornstein-Uhlenbeck process, heavy tail, long-memory, Spearman’s correlation, quantile estimator, Brownian excursion, fractional inverse Gaussian process, fractional gamma process
