Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling

DOI10.1080/03610926.2011.594540zbMath1411.60059OpenAlexW2073301759MaRDI QIDQ4929215

Reiichiro Kawai

Publication date: 13 June 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.594540

zbMATH Keywords

fractional Brownian motionlong-range dependenceparametric estimationhigh-frequency samplinglocal asymptotic normality propertylog-likelihood ratios

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Fractional processes, including fractional Brownian motion (60G22)

Related Items (7)

Optimal statistical inference for subdiffusion processes ⋮ Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations ⋮ Optimal estimation of the rough Hurst parameter in additive noise ⋮ Estimation of the Hurst parameter from continuous noisy data ⋮ One-step estimation for the fractional Gaussian noise at high-frequency ⋮ Anomalous spreading and misidentification of spatial random walk models ⋮ Local asymptotic normality property for fractional Gaussian noise under high-frequency observations

Cites Work

• Unnamed Item
• On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• On large-sample estimation for the mean of a stationary random sequence
• VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
• Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling

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