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Abstract We investigate the asymptotic properties of the maximum likelihood estimator of the drift parameter in a cusp-type signal driven by a fractional Brownian motion. Click to show full abstract
Abstract We investigate the asymptotic properties of the maximum likelihood estimator of the drift parameter in a cusp-type signal driven by a fractional Brownian motion.
Keywords:
type signal;
fractional brownian;
signal driven;
driven fractional;
brownian motion;
cusp type
Journal Title: Stochastic Analysis and Applications
Year Published: 2019
Link to full text (if available)
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Journal Title: Stochastic Analysis and Applications
Year Published: 2019
Link to full text (if available)
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recommendations!