Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion (Q2946099): Difference between revisions

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scientific article

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English	Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion	scientific article

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instance of

scholarly article

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title

Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion (English)

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Georgiy M. Shevchenko

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published in

Modern Stochastics and Applications

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publication date

16 September 2015

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full work available at URL

https://arxiv.org/abs/1309.6596

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zbMATH Keywords

stochastic differential equations

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fractional Brownian motion

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drift parameter estimator

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asymptotic properties

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strong consistency

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rate of convergence

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simulation results

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MaRDI profile type

MaRDI publication profile

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cites work

Drift parameter estimation in fractional diffusions driven by perturbed random walks

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Parameter estimation in stochastic differential equations.

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Q5436608

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Parameter estimation for fractional Ornstein-Uhlenbeck processes

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Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion

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Statistical analysis of the fractional Ornstein--Uhlenbeck type process

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On drift parameter estimation in models with fractional Brownian motion

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Q3330343

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Q4522401

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Differential equations driven by rough signals

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Holder Conditions for Gaussian Processes with Stationary Increments

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Stochastic calculus for fractional Brownian motion and related processes.

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Q4828192

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Statistical Inference for Fractional Diffusion Processes

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Statistical aspects of the fractional stochastic calculus

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Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation

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Maximum-likelihood estimators in the mixed fractional Brownian motion

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Integration with respect to fractal functions and stochastic calculus. I

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Identifiers

zbMATH Open document ID

1329.60193

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DOI

10.1007/978-3-319-03512-3_17

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2946099

@@ Property / author @@
-Yuliya S. Mishura
@@ Property / author: Yuliya S. Mishura / rank @@
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@@ Property / author @@
-Georgiy M. Shevchenko
@@ Property / author: Georgiy M. Shevchenko / rank @@
-Normal rank
@@ Property / author @@
+Yuliya S. Mishura
@@ Property / author: Yuliya S. Mishura / rank @@
+Normal rank
@@ Property / author @@
+Georgiy M. Shevchenko
@@ Property / author: Georgiy M. Shevchenko / rank @@
+Normal rank
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+MaRDI publication profile
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@@ Property / arXiv ID @@
+.6596
@@ Property / arXiv ID: 1309.6596 / rank @@
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@@ Property / cites work @@
+Drift parameter estimation in fractional diffusions driven by perturbed random walks
+Normal rank
@@ Property / cites work @@
+Parameter estimation in stochastic differential equations.
+Normal rank
@@ Property / cites work @@
+Q5436608
@@ Property / cites work: Q5436608 / rank @@
+Normal rank
@@ Property / cites work @@
+Parameter estimation for fractional Ornstein-Uhlenbeck processes
+Normal rank
@@ Property / cites work @@
+Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion
+Normal rank
@@ Property / cites work @@
+Statistical analysis of the fractional Ornstein--Uhlenbeck type process
+Normal rank
@@ Property / cites work @@
+On drift parameter estimation in models with fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Q3330343
@@ Property / cites work: Q3330343 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4522401
@@ Property / cites work: Q4522401 / rank @@
+Normal rank
@@ Property / cites work @@
+Differential equations driven by rough signals
@@ Property / cites work: Differential equations driven by rough signals / rank @@
+Normal rank
@@ Property / cites work @@
+Holder Conditions for Gaussian Processes with Stationary Increments
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for fractional Brownian motion and related processes.
+Normal rank
@@ Property / cites work @@
+Q4828192
@@ Property / cites work: Q4828192 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical Inference for Fractional Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Statistical aspects of the fractional stochastic calculus
+Normal rank
@@ Property / cites work @@
+Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
+Normal rank
@@ Property / cites work @@
+Maximum-likelihood estimators in the mixed fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Integration with respect to fractal functions and stochastic calculus. I
+Normal rank