Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion

DOI10.1007/978-3-319-03512-3_17zbMATH Open1329.60193arXiv1309.6596OpenAlexW1690536921MaRDI QIDQ2946099FDOQ2946099

Authors: K. V. Ral'chenko, Oleg Seleznev, Yuliya S. Mishura, G. M. Shevchenko 

Publication date: 16 September 2015

Published in: Modern Stochastics and Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1309.6596

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zbMATH Keywords

strong consistencyasymptotic propertiesrate of convergencefractional Brownian motionsimulation resultsstochastic differential equationsdrift parameter estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (25)

• 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
• Sequential testing of hypotheses about drift for Gaussian diffusions
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• On drift parameter estimation in models with fractional Brownian motion
• Statistical inference for fractional diffusion processes
• Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion
• Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• Parametric estimation for cusp-type signal driven by fractional Brownian motion
• Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
• Asymptotic properties of an estimator for the drift coefficient of a stochastic differential equation with fractional Brownian motion
• Drift parameter estimation for nonlinear stochastic differential equations driven by fractional Brownian motion
• Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions
• A general drift estimation procedure for stochastic differential equations with additive fractional noise
• Asymptotic inference for stochastic differential equations driven by fractional Brownian motion
• Drift parameter estimation in the models involving 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
• Almost periodic and periodic solutions of differential equations driven by the fractional Brownian motion with statistical application

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