Asymptotics of minimum distance estimator of the parameter of stochastic process driven by a fractional Brownian motion

DOI10.1515/ROSE.2008.022zbMath1189.62139OpenAlexW2053727754MaRDI QIDQ5324874

Modeste N'zi, Louis Kouame, Armel Fabrice Yodé

Publication date: 8 August 2009

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2008.022

zbMATH Keywords

diffusion processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65)

Related Items (2)

Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion ⋮ Minimum distance parameter estimation for a stochastic equation with additive fractional Brownian sheet

Cites Work

• On minimum \(L_ 1\)-norm estimate of the parameter of the Ornstein- Uhlenbeck process
• On some maximal inequalities for fractional Brownian motions
• Fractional Brownian Motions, Fractional Noises and Applications

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