Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
From MaRDI portal
Publication:1744220
DOI10.1007/s11203-016-9147-zzbMath1395.60042arXiv1602.05848MaRDI QIDQ1744220
Kostiantyn Ralchenko, Yuriy Vasil'ovich Kozachenko, Marco E. Dozzi, Yuliya S. Mishura
Publication date: 16 April 2018
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.05848
parameter estimation; consistency; Gaussian process; strong consistency; multifunctional Brownian motion; stochastic differentia equiation
62F12: Asymptotic properties of parametric estimators
60G15: Gaussian processes
60G22: Fractional processes, including fractional Brownian motion
62F10: Point estimation
Related Items
Cites Work
- Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Integration with respect to fractal functions and stochastic calculus. I
- Elliptic Gaussian random processes
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- How rich is the class of multifractional Brownian motions?
- Statistical aspects of the fractional stochastic calculus
- Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion
- Lectures on Gaussian Processes
- Approximation of multifractional Brownian motion by absolutely continuous processes
- Drift parameter estimation for fractional Ornstein–Uhlenbeck process of the second kind
- On drift parameter estimation in models with fractional Brownian motion
- Upper and Lower Bounds for Stochastic Processes
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
