Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions

DOI10.1007/978-3-030-02825-1_6MaRDI QIDQ2329109zbMATH OpenOpenAlexFDO

Authors K. V. Ral'chenko, S. V. Shklyar, Yuliya S. Mishura

Publication date 17 October 2019

Full work available at URL https://arxiv.org/abs/1808.08417

zbMATH Keywords

continuous observationsdiscrete observationsfractional Brownian motionFredholm integral equation of the first kindmaximum likelihood estimatorstrong consistency

Mathematics Subject Classification ID

Sample path properties (60G17) Fractional processes, including fractional Brownian motion (60G22)

Abstract: The purpose of the article is twofold. Firstly, we review some recent results on the maximum likelihood estimation in the regression model of the form $X_t=hetaG(t)+B_t$, where $B$ is a Gaussian process, $G(t)$ is a known function, and $heta$ is an unknown drift parameter. The estimation techniques for the cases of discrete-time and continuous-time observations are presented. As examples, models with fractional Brownian motion, mixed fractional Brownian motion, and sub-fractional Brownian motion are considered. Secondly, we study in detail the model with two independent fractional Brownian motions and apply the general results mentioned above to this model.

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Cited in

(4)

• Two-step wavelet-based estimation for Gaussian mixed fractional processes
• Maximum likelihood estimation for Gaussian process with nonlinear drift
• Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations
• Parameter estimation of integrated fractional Brownian motion

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