Abstract

We consider the problem of the drift parameter estimation for a non-Gaussian long memory Ornstein–Uhlenbeck process driven by a Hermite process. To estimate the unknown parameter, discrete time high-frequency observations at regularly spaced time points and the least squares estimation method are used. By means of techniques based on Wiener chaos and multiple stochastic integrals, the consistency and the limit distribution of the least squares estimator of the drift parameter have been established. To show the computational implementation of the obtained results, different simulation examples are given. © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2024.