Drift Parameter Estimation for a Reflected Fractional Brownian Motion Based on its Local Time

DOI10.1239/jap/1371648963zbMath1301.60050OpenAlexW2059509929MaRDI QIDQ5299580

Chihoon Lee, Yaozhong Hu

Publication date: 26 June 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1371648963

zbMATH Keywords

parameter estimationasymptotic normalityfractional Brownian motionqueueing modelstrong consistencyreflected process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Queueing theory (aspects of probability theory) (60K25)

Related Items (8)

Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process ⋮ Optimal estimation of the supremum and occupation times of a self-similar Lévy process ⋮ Sequential estimation for nonhomogeneous Ornstein-Uhlenbeck processes ⋮ Nadaraya-Watson estimators for reflected stochastic processes ⋮ Asymptotic behaviour of the trajectory fitting estimator for reflected Ornstein-Uhlenbeck processes ⋮ A general lower bound of parameter estimation for reflected Ornstein–Uhlenbeck processes ⋮ Asymptotic behaviour of parametric estimation for nonstationary reflected Ornstein-Uhlenbeck processes ⋮ Asymptotic behavior of parametric estimation for a class of nonlinear diffusion process

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