Maximum Likelihood Drift Estimation for the Mixing of Two Fractional Brownian Motions

DOI10.1007/978-3-319-07245-6_14zbMath1498.60152arXiv1506.04731OpenAlexW2205654605MaRDI QIDQ5038286

Yuliya S. Mishura

Publication date: 30 September 2022

Published in: Trends in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.04731

zbMATH Keywords

linear modelmaximum likelihood estimatorunknown drift parameterindependent fractional Brownian motions

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10)

Related Items (4)

Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence ⋮ Estimation of the drift of Riemann-Liouville fractional Brownian motion ⋮ Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift ⋮ Maximum likelihood estimation for Gaussian process with nonlinear drift

Cites Work

• Unnamed Item
• Unnamed Item
• Mixed Gaussian processes: a filtering approach
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• Transformation formulas for fractional Brownian motion
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Stochastic analysis of the fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Parameter estimation in stochastic differential equations.
• Stochastic calculus for fractional Brownian motion and related processes.
• Statistical Inference for Fractional Diffusion Processes
• Stochastic Calculus for Fractional Brownian Motion and Applications

This page was built for publication: Maximum Likelihood Drift Estimation for the Mixing of Two Fractional Brownian Motions