Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk

DOI10.1007/S10463-013-0439-4zbMATH Open1332.62287OpenAlexW2024421402MaRDI QIDQ2255167FDOQ2255167

Nenghui Kuang, Huantian Xie

Publication date: 6 February 2015

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-013-0439-4

Recommendations

• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• Estimators for the Drift of Subfractional Brownian Motion
• scientific article; zbMATH DE number 6671342
• Parametric estimation for SDEs with additive sub-fractional Brownian motion

zbMATH Keywords

random walkmaximum likelihood estimatorsub-fractional Brownian motion

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Fractional Brownian motion, random walks and binary market models
• Sub-fractional Brownian motion and its relation to occupation times
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Maximum-likelihood estimators and random walks in long memory models
• Parameter estimation for stochastic equations with additive fractional Brownian sheet
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• Statistical aspects of the fractional stochastic calculus
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion
• Parametric estimation for sub-fractional Ornstein-Uhlenbeck process

Cited In (17)

• Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-bifractional Brownian motion
• Fractional processes and their statistical inference: an overview
• On some maximal and integral inequalities for sub-fractional Brownian motion
• Optimal estimation of a signal perturbed by a sub-fractional Brownian motion
• Title not available (Why is that?)
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
• Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion
• Asymptotic behaviours for maximum likelihood estimator of drift parameter in α-Wiener bridge process
• Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion
• Maximum likelihood estimation for sub-fractional Vasicek model
• AN EFFICIENT MAXIMUM LIKELIHOOD ESTIMATOR FOR TWO-DIMENSIONAL FRACTIONAL BROWNIAN MOTION
• Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
• Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
• Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes
• OPTION PRICING USING STOCHASTIC VOLATILITY MODEL UNDER FOURIER TRANSFORM OF NONLINEAR DIFFERENTIAL EQUATION

This page was built for publication: Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2255167)