Hu, Yaozhong; Nualart, David - In: Statistics & Probability Letters 80 (2010) 11-12, pp. 1030-1038
We study a least squares estimator for the Ornstein-Uhlenbeck process, , driven by fractional Brownian motion BH with Hurst parameter . We prove the strong consistence of (the almost surely convergence of to the true parameter [theta]). We also obtain the rate of this convergence when 1/2=H3/4,...