Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process

摘要

We consider the fractional Ornstein–Uhlenbeck process with an unknown drift parameter and known Hurst parameter $H$. We propose a new method to test the hypothesis of the sign of the parameter and prove the consistency of the test. Contrary to the previous works, our approach is applicable for all $Hin(0,1)$.