Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions

DOI10.1007/978-3-030-02825-1_6zbMath1423.60064arXiv1808.08417OpenAlexW3100400611MaRDI QIDQ2329109

Sergiy Shklyar, Kostiantyn Ralchenko, Yuliya S. Mishura

Publication date: 17 October 2019

Full work available at URL: https://arxiv.org/abs/1808.08417

zbMATH Keywords

fractional Brownian motionmaximum likelihood estimatordiscrete observationsstrong consistencyFredholm integral equation of the first kindcontinuous observations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17)

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