Acta Mathematica Vietnamica
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MINIMUM $L_1$-NORM ESTIMATION FOR MIXED FRACTIONAL ORNSTEIN-UHLENBECK TYPE PROCESS
YU MIAOpp. 379-386
Abstract
In the present paper, the asymptotic properties of the minimum $L_1$-norm estimator of the drift parameter for mixed fractional Ornstein-Uhlenbeck type process satisfying a linear stochastic differential equation driven by a mixed fractional Brownian motion are obtained.