Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence
DOI10.15559/15-VMSTA28zbMath1352.60059arXiv1508.02842MaRDI QIDQ340767
Ivan Voronov, Yuliya S. Mishura
Publication date: 15 November 2016
Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.02842
Fredholm integral equationfractional Brownian motioncompact operatormaximum likelihood estimatorasymptotic consistencyweakly singular kernel
Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Fredholm integral equations (45B05)
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Cites Work
- Transformation formulas for fractional Brownian motion
- Functional analysis. Vol. 1-2. Transl. from the Russian by Peter V. Malyshev
- Asymptotic approximations for the first incomplete elliptic integral near logarithmic singularity
- Maximum Likelihood Drift Estimation for the Mixing of Two Fractional Brownian Motions
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