Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion
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Publication:423299
DOI10.1016/S0252-9602(11)60365-2zbMath1245.62099MaRDI QIDQ423299
Yaozhong Hu, David Nualart, Wei-Guo Zhang, Wei-Lin Xiao
Publication date: 1 June 2012
Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)
Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07)
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