Parameter identification for the discretely observed geometric fractional Brownian motion

DOI10.1080/00949655.2013.814135zbMath1457.62249OpenAlexW2124009667MaRDI QIDQ5220717

Xi-Li Zhang, Wei-Guo Zhang, Wei-Lin Xiao

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2013.814135

zbMATH Keywords

maximum likelihood estimationasymptotic behaviourdiscrete observationsquadratic variationgeometric fractional Brownian motion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (6)

Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets ⋮ Parameter identification for mixed fractional Brownian motions with the drift parameter ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ Sequential testing of hypotheses about drift for Gaussian diffusions ⋮ Default probability of American lookback option in a mixed jump-diffusion model ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets

Uses Software

• SimEstFBM

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