Parameter estimation for fractional diffusion process with discrete observations
DOI10.1155/2019/9036285zbMATH Open1418.62290OpenAlexW2910596778MaRDI QIDQ2631908FDOQ2631908
Publication date: 16 May 2019
Published in: Journal of Function Spaces (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2019/9036285
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parameter estimationfractional Brownian motionHurst parameterDonsker type approximate formulafractional diffusion process
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Fractional processes, including fractional Brownian motion (60G22)
Cites Work
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- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Maximum-likelihood estimators and random walks in long memory models
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- Optimum step-stress partially accelerated life tests for the truncated logistic distribution with censoring
- On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
- ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL
- Title not available (Why is that?)
Cited In (4)
- Least squares estimation for \(\alpha\)-fractional bridge with discrete observations
- Parameter estimation for fractional Poisson processes
- Parameter estimation for the fractional fractal diffusion model based on its numerical solution
- Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion
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