Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
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Publication:2946099
Abstract: We consider a problem of statistical estimation of an unknown drift parameter for a stochastic differential equation driven by fractional Brownian motion. Two estimators based on discrete observations of solution to the stochastic differential equations are constructed. It is proved that the estimators converge almost surely to the parameter value as the observation interval expands and the distance between observations vanishes. A bound for the rate of convergence is given and numerical simulations are presented. As an auxilliary result of independent interest we establish global estimates for fractional derivative of fractional Brownian motion.
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Cited in
(25)- Almost periodic and periodic solutions of differential equations driven by the fractional Brownian motion with statistical application
- Berry-Esseen bounds for drift parameter estimation of discretely observed fractional Vasicek-type process
- Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion
- Nonparametric estimation in fractional SDE
- Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift
- Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
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- A general drift estimation procedure for stochastic differential equations with additive fractional noise
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- Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion
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- Asymptotic inference for stochastic differential equations driven by fractional Brownian motion
- Drift parameter estimation for a reflected fractional Brownian motion based on its local time
- Asymptotic normality of the Bayes estimator in fractional Brownian motion model
- Asymptotics of minimum distance estimator of the parameter of stochastic process driven by a fractional Brownian motion
- An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
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