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Let us consider a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter $$1/4< H < 1/2$$ 1 / 4 < H < 1 / 2 .… Click to show full abstract
Let us consider a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter $$1/4< H < 1/2$$ 1 / 4 < H < 1 / 2 . We are interested in estimating the drift parameter from the completely observed data. We propose an M-estimator for the drift parameter. Under some assumptions on the drift coefficient, our estimator has consistency, asymptotic normality and moment convergence property.
Keywords:
fractional brownian;
stochastic differential;
driven fractional;
brownian motion;
parameter;
hurst parameter
Journal Title: Statistical Inference for Stochastic Processes
Year Published: 2020
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Journal Title: Statistical Inference for Stochastic Processes
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!