Maximum-likelihood estimators in the mixed fractional Brownian motion

DOI10.1080/02331888.2010.541254zbMath1283.62048OpenAlexW2132182720MaRDI QIDQ5402581

Xi-Li Zhang, Wei-Guo Zhang, Wei-Lin Xiao

Publication date: 14 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2010.541254

zbMATH Keywords

asymptotic normalityMalliavin calculusstrong consistencymaximum-likelihood estimationmixed fractional Brownian motion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Functional limit theorems; invariance principles (60F17)

Related Items (9)

Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets ⋮ Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend ⋮ Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion ⋮ Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift ⋮ Estimation of mixed fractional stable processes using high-frequency data ⋮ Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion ⋮ Parameter identification for the discretely observed geometric fractional Brownian motion ⋮ On drift parameter estimation in models with fractional Brownian motion ⋮ Asymptotic behavior of mixed power variations and statistical estimation in mixed models

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• The Malliavin Calculus and Related Topics
• Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
• Entropic aging and extreme value statistics
• Fractional Brownian motion, random walks and binary market models

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