Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean

Rachid Belfadli, Khalifa Es-Sebaiy, Fatima-Ezzahra Farah

Consider a periodic, mean-reverting Ornstein-Uhlenbeck process $X=\{X_t,t\ge 0\}$ of the form $d{X}_t=\left(L(t)+\alpha X_t\right)dt+d{B}_t^H,t\ge 0$, where $L(t)=\sum_{i=…