Parameter Estimation for the Langevin Equation with Stationary-Increment   Gaussian Noise
  We study the Langevin equation with stationary-increment Gaussian noise. We show the strong consistency and the asymptotic normality with Berry--Esseen bound of the so-called alternative estimator of the mean reversion parameter. The conditions and results are stated in terms of the variance function of the noise. We consider both the case of continuous and discrete observations. As examples we consider fractional and bifractional Ornstein--Uhlenbeck processes. Finally, we discuss the maximum likelihood and the least squares estimators. 
Tommi Sottinen and Lauri Viitasaari
math.PR