Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift

DOI10.1007/s42952-023-00209-4zbMath1524.62103OpenAlexW4324148011MaRDI QIDQ6134390

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Publication date: 25 July 2023

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-023-00209-4

zbMATH Keywords

consistencyasymptotic normalitymaximum likelihood estimator\(n\)th order mixed fractional Brownian motionpower-variations

Mathematics Subject Classification ID

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

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