Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the Second Kind

Ehsan Azmoodeh, Jose Igor Morlanes

Fractional Ornstein-Uhlenbeck process of the second kind $({\text{fOU}}_2)$ is solution of the Langevin equation $\mathrm{d}{X}_t=-\theta X_t\mathrm{d}t+\mathrm{d}{Y}_t^{(1)},\theta >0$ wit…