Parameter estimation for fractional diffusion process with discrete observations

DOI10.1155/2019/9036285MaRDI QIDQ2631908zbMATH OpenOpenAlexFDO

Authors Yuxia Su, Yutian Wang

Publication date 16 May 2019

Published in Journal of Function Spaces (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/9036285

zbMATH Keywords

parameter estimationfractional Brownian motionHurst parameterDonsker type approximate formulafractional diffusion process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• Asymptotic theory for estimating drift parameters in the fractional Vasicek model
• Ergodic theory for SDEs with extrinsic memory
• Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
• Fractional Brownian motion, random walks and binary market models
• Maximum-likelihood estimators and random walks in long memory models
• On estimations for the parameters of fractional diffusion models and their applications
• On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
• Optimum step-stress partially accelerated life tests for the truncated logistic distribution with censoring
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
• Statistical inference for fractional diffusion processes

Cited in

(11)

• On estimations for the parameters of fractional diffusion models and their applications
• Asymptotic normality of the estimators for fractional Brownian motions with discrete data
• Least squares estimation for \(\alpha\)-fractional bridge with discrete observations
• Parameter estimation for the fractional fractal diffusion model based on its numerical solution
• On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
• Parameter estimation in fractional diffusion models
• Parameter estimation for a class of diffusion process from discrete observation
• Parameter identification for the discretely observed geometric fractional Brownian motion
• Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion
• Parameter estimation for fractional Poisson processes
• Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise

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