Asymptotic behavior of mixed power variations and statistical estimation in mixed models

DOI10.1007/S11203-014-9106-5zbMath1329.60102arXiv1301.0993OpenAlexW2001762402MaRDI QIDQ2350912

Yuliya S. Mishura, Georgiy M. Shevchenko, Marco E. Dozzi

Publication date: 25 June 2015

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.0993

zbMATH Keywords

Wiener processfractional Brownian motionconsistent estimatorHurst parameteralmost sure asymptotic behaviorweak asymptotic behaviorpower variations

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Strong limit theorems (60F15)

Related Items (11)

Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend ⋮ Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders ⋮ Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift ⋮ Parameter estimation in mixed fractional stochastic heat equation ⋮ Estimation of the Hurst parameter from continuous noisy data ⋮ Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process ⋮ Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion ⋮ Mixed fractional Brownian motion: a spectral take ⋮ Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations ⋮ Asymptotic behavior of weighted quadratic variation of tempered fractional Brownian motion ⋮ Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion

Uses Software

• SimEstFBM

Cites Work

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