On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion

DOI10.1016/j.spl.2015.11.013zbMath1384.62073arXiv1507.07180OpenAlexW2963261809MaRDI QIDQ899656

V. Skorniakov, Kęstutis Kubilius

Publication date: 30 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.07180

zbMATH Keywords

stochastic differential equationfractional Brownian motionHurst index

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (8)

Parameter estimation for fractional diffusion process with discrete observations ⋮ Unnamed Item ⋮ Asymptotic inference for stochastic differential equations driven by fractional Brownian motion ⋮ CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index ⋮ Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion ⋮ On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process ⋮ Nonparametric estimation in fractional SDE

Cites Work

• Unnamed Item
• Unnamed Item
• Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
• Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
• The rate of convergence of Hurst index estimate for the stochastic differential equation
• Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
• Estimation in models driven by fractional Brownian motion
• Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Differential equations driven by fractional Brownian motion
• Identification of filtered white noises
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
• Power variation from second order differences for pure jump semimartingales
• Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
• Concrete Functional Calculus
• Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift

This page was built for publication: On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion