Asymptotic properties of non-standard drift parameter estimators in the models involving fractional Brownian motion

DOI10.1090/TPMS/1010OpenAlexW2745907415MaRDI QIDQ5351664

Mounir Zili, Meriem Bel Hadj Khlifa, Yuliya S. Mishura

Publication date: 30 August 2017

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1010

zbMATH Keywords

estimationfractional Brownian motionstrong consistencyparameter estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10)

Cites Work

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• Differential equations driven by fractional Brownian motion
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Stochastic calculus for fractional Brownian motion and related processes.
• Statistical aspects of the fractional stochastic calculus
• On drift parameter estimation in models with fractional Brownian motion

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