Maximum-likelihood estimators and random walks in long memory models
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Abstract: We consider statistical models driven by Gaussian and non-Gaussian self-similar processes with long memory and we construct maximum likelihood estimators (MLE) for the drift parameter. Our approach is based on the approximation by random walks of the driving noise. We study the asymptotic behavior of the estimators and we give some numerical simulations to illustrate our results.
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Cited in
(18)- 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
- Bayesian inference for fractional oscillating Brownian motion
- Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk
- Parameter estimation for fractional diffusion process with discrete observations
- Penalised maximum likelihood estimation for fractional Gaussian processes
- Maximum likelihood estimator consistency for recurrent random walk in a parametric random environment with finite support
- A multivariate pareto distribution
- Maximum likelihood estimation for Gaussian process with nonlinear drift
- Parameter identification for the discretely observed geometric fractional Brownian motion
- Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
- Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion
- Parameter estimation for a discrete time model driven by fractional Poisson process
- Limit distribution of the least square estimator with observations sampled at random times driven by standard Brownian motion
- Drift parameter estimation in fractional diffusions driven by perturbed random walks
- Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
- Wavelet-type expansion of generalized Hermite processes with rate of convergence
- Testing unit root non-stationarity in the presence of missing data in univariate time series of mobile health studies
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