Maximum likelihood drift estimation for the mixing of two fractional Brownian motions (Q5038286)
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scientific article; zbMATH DE number 7594952
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| English | Maximum likelihood drift estimation for the mixing of two fractional Brownian motions |
scientific article; zbMATH DE number 7594952 |
Statements
Maximum Likelihood Drift Estimation for the Mixing of Two Fractional Brownian Motions (English)
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30 September 2022
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independent fractional Brownian motions
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linear model
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unknown drift parameter
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maximum likelihood estimator
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0.8820169568061829
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0.8549326062202454
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0.8484789729118347
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