In this article, we study the parametric problem of estimating the coefficient for a discrete time model driven by a fractional Poisson noise, when high-frequency observations are given. We consider weighted least squares and maximum likelihood estimators. Thus, asymptotic behavior of the estimators is proved and a simulation study is shown to illustrate our results.
- Fractional Poisson process
- long memory
- maximum likelihood estimator
- weighted least square estimator