This research introduces a new Ornstein–Uhlenbeck process, identifying key parameters in its behavior, implying deeper insights into stochastic processes.
In this paper, a non-Gaussian Ornstein–Uhlenbeck process driven by a Hermite–Ornstein–Uhlenbeck process is introduced, which belongs to the qth Wiener chaos. A systematic procedure to identify the drift parameter θ and the Hurst parameter H is given based on the study of the limit behavior of its quadratic variations. Estimators for these two parameters and their asymptotic properties are studied.
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Diez et al. (2026) studied this question.
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