Estimators for the Drift of Subfractional Brownian Motion

DOI10.1080/03610926.2012.697243zbMath1291.62081OpenAlexW2038596717MaRDI QIDQ5419669

Litan Yan, Guang Jun Shen

Publication date: 11 June 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.697243

zbMATH Keywords

James-Stein estimatormaximum likelihood estimatorsubfractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Sufficient statistics and fields (62B05)

Related Items (14)

A law of iterated logarithm for the subfractional Brownian motion and an application ⋮ Estimation of the drift of a Gaussian process under balanced loss function ⋮ Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion ⋮ Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation ⋮ Fractional processes and their statistical inference: an overview ⋮ On some maximal and integral inequalities for sub-fractional Brownian motion ⋮ Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion ⋮ The structure of autocovariance matrix of discrete time subfractional Brownian motion ⋮ Optimal estimation of a signal perturbed by a sub-fractional Brownian motion ⋮ Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion ⋮ Maximum likelihood estimation for Gaussian process with nonlinear drift ⋮ Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion ⋮ Maximum likelihood estimation for sub-fractional Vasicek model ⋮ Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion

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