The rate of convergence of Hurst index estimate for the stochastic differential equation

DOI10.1016/j.spa.2012.06.011zbMath1255.60065arXiv1111.6711OpenAlexW2110825338WikidataQ115341152 ScholiaQ115341152MaRDI QIDQ454862

Kęstutis Kubilius, Yuliya S. Mishura

Publication date: 10 October 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.6711

zbMATH Keywords

rate of convergencefractional Brownian motionestimates of Hurst parameterfirst- and second-order quadratic variationsstochastic differential eqaution

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (10)

Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise ⋮ Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion ⋮ Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter ⋮ On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ Total variation estimates in the Breuer-Major theorem ⋮ On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process ⋮ The rate of convergence of the Hurst index estimate for a stochastic differential equation ⋮ Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model ⋮ Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift

Uses Software

• SimEstFBM

Cites Work

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