Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters

Abdulaziz Alsenafi, Mishari Al-Foraih, Khalifa Es-Sebaiy

Let $B^{a,b}:=\{B_t^{a,b},t\ge 0\}$ be a weighted fractional Brownian motion of parameters $a>-1$, $|b|<1$, $|b|<a+1$. We consider a least square-type method to estimate the drift…