On drift parameter estimation in models with fractional Brownian motion

DOI10.1080/02331888.2014.907294zbMath1396.62190arXiv1112.2330OpenAlexW1973307042MaRDI QIDQ5263966

Yuliya S. Mishura, Alexander V. Melnikov, Yuriy Vasil'ovich Kozachenko

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.2330

zbMATH Keywords

stochastic differential equationparameter estimationfractional Brownian motionBrownian motionsequential estimationOrnstein-Uhlenbeck model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Related Items (23)

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Cites Work

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• Maximum-likelihood estimators in the mixed fractional Brownian motion
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion

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