Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion

DOI10.1007/978-3-319-03512-3_17zbMath1329.60193arXiv1309.6596OpenAlexW1690536921MaRDI QIDQ2946099

Kostiantyn Ralchenko, Oleg Seleznev, Yuliya S. Mishura, Georgiy M. Shevchenko

Publication date: 16 September 2015

Published in: Modern Stochastics and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.6596

zbMATH Keywords

rate of convergenceasymptotic propertiesfractional Brownian motionstochastic differential equationssimulation resultsstrong consistencydrift parameter estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) ⋮ Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift ⋮ Sequential testing of hypotheses about drift for Gaussian diffusions ⋮ Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation

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