Drift parameter estimation in fractional diffusions driven by perturbed random walks

DOI10.1016/J.SPL.2010.10.003MaRDI QIDQ625008zbMATH OpenOpenAlexFDO

Authors Karine Bertin, Soledad Torres, Ciprian A. Tudor

Publication date 11 February 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.10.003

zbMATH Keywords

maximum likelihood estimationfractional Brownian motion

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Sums of independent random variables; random walks (60G50) Generalized stochastic processes (60G20)

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• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• Fractional Brownian motion, random walks and binary market models
• Maximum-likelihood estimators and random walks in long memory models
• Parameter estimation for stochastic equations with additive fractional Brownian sheet
• Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical aspects of the fractional stochastic calculus
• Variations and estimators for self-similarity parameters via Malliavin calculus

Cited in

(34)

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• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
• Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion
• Maximum likelihood estimators of a long-memory process from discrete observations
• Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
• On estimations for the parameters of fractional diffusion models and their applications
• Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
• Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift
• Existence and uniqueness results for Cauchy problem of variable-order fractional differential equations
• Estimation of the drift of Riemann-Liouville fractional Brownian motion
• Sequential testing of hypotheses about drift for Gaussian diffusions
• Parameter estimation for a discrete time model driven by fractional Poisson process
• On drift parameter estimation in models with fractional Brownian motion
• Bayesian inference for fractional oscillating Brownian motion
• Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion
• Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• Variance estimator for fractional diffusions with variance and drift depending on time
• Parameter identification for mixed fractional Brownian motions with the drift parameter
• Comparative Estimation for Discrete Fractional Ornstein-Uhlenbeck Process
• scientific article; zbMATH DE number 2169687 (Why is no real title available?)
• Drift parameter estimation in the models involving fractional Brownian motion
• Drift parameter estimation for a reflected fractional Brownian motion based on its local time
• Asymptotic properties of non-standard drift parameter estimators in the models involving fractional Brownian motion
• Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
• Controlled drift estimation in fractional diffusion linear systems
• How close is a fractional process to a random walk with drift?
• A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
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• Non symmetric Rosenblatt process over a compact
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