Estimation of the drift of Riemann-Liouville fractional Brownian motion

DOI10.1080/03610926.2021.1999475OpenAlexW3212188981MaRDI QIDQ6114251

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Publication date: 11 July 2023

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

Full work available at URL: https://doi.org/10.1080/03610926.2021.1999475

zbMATH Keywords

James-Stein estimatormaximum likelihoodRiemann-Liouville fractional Brownian motion

Mathematics Subject Classification ID

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

Cites Work

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• Drift estimation with non-Gaussian noise using Malliavin calculus
• Estimation of the drift of fractional Brownian motion
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Maximum Likelihood Drift Estimation for the Mixing of Two Fractional Brownian Motions

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