Estimate of the drift parameter of fractional Brownian fields

zbMATH Open1289.62103MaRDI QIDQ2850868FDOQ2850868

Authors: S. P. Shpyga 

Publication date: 1 October 2013

Published in: Prykladna Statystyka. Aktuarna ta Finansova Matematyka (Search for Journal in Brave)

zbMATH Keywords

biasstandard deviationfractional Brownian fieldmaximum likelihood estimatelinear drift parameter

Mathematics Subject Classification ID

Point estimation (62F10) Random fields; image analysis (62M40) Fractional processes, including fractional Brownian motion (60G22)

Cited In (4)

• Estimation of the drift of Riemann-Liouville fractional Brownian motion
• Estimators for the Drift of Subfractional Brownian Motion
• Variance estimator for fractional diffusions with variance and drift depending on time
• Title not available (Why is that?)

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