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

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