Statistical aspects of the fractional stochastic calculus

DOI10.1214/009053606000001541zbMath1194.62097arXivmath/0609295OpenAlexW3106069909MaRDI QIDQ2642746

Ciprian A. Tudor, Frederi G. Viens

Publication date: 4 September 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0609295

zbMATH Keywords

stochastic differential equationfractional Brownian motionMalliavin calculusmaximum likelihood estimatorstrong consistencyHurst parameter

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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