Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk
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Publication:2255167
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Cites work
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- Drift parameter estimation in fractional diffusions driven by perturbed random walks
- 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
- Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Statistical aspects of the fractional stochastic calculus
- Sub-fractional Brownian motion and its relation to occupation times
Cited in
(20)- Drift parameter estimation in fractional diffusions driven by perturbed random walks
- Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
- Asymptotic behaviours for maximum likelihood estimator of drift parameter in \(\alpha\)-Wiener bridge process
- Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-bifractional Brownian motion
- On some maximal and integral inequalities for sub-fractional Brownian motion
- Fractional processes and their statistical inference: an overview
- Optimal estimation of a signal perturbed by a sub-fractional Brownian motion
- Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
- scientific article; zbMATH DE number 6671342 (Why is no real title available?)
- Option pricing using stochastic volatility model under Fourier transform of nonlinear differential equation
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process
- Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion
- 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
- Parametric estimation for SDEs with additive sub-fractional Brownian motion
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