Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation

DOI10.1007/s11203-016-9147-zzbMath1395.60042arXiv1602.05848MaRDI QIDQ1744220

Kostiantyn Ralchenko, Yuliya S. Mishura, Yuriy Vasil'ovich Kozachenko, Marco E. Dozzi

Publication date: 16 April 2018

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.05848

zbMATH Keywords

parameter estimation; consistency; Gaussian process; strong consistency; multifunctional Brownian motion; stochastic differentia equiation

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

60G15: Gaussian processes

60G22: Fractional processes, including fractional Brownian motion

62F10: Point estimation