Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence

DOI10.15559/15-VMSTA28zbMATH Open1352.60059arXiv1508.02842MaRDI QIDQ340767FDOQ340767

Authors: Ivan Voronov, Yuliya S. Mishura 

Publication date: 15 November 2016

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

Abstract: We construct an estimator of the unknown drift parameter $hetainmathbbR$ in the linear model [X_t= heta t+sigma_1B^{H_1}(t)+sigma_2B^{H_2}(t),;tin[0,T],] where $B^{H_1}$ and $B^{H_2}$ are two independent fractional Brownian motions with Hurst indices $H_1$ and $H_2$ satisfying the condition $frac12leq{H}_1<H_2<1.$ Actually, we reduce the problem to the solution of the integral Fredholm equation of the 2nd kind with a specific weakly singular kernel depending on two power exponents. It is proved that the kernel can be presented as the product of a bounded continuous multiplier and weak singular one, and this representation allows us to prove the compactness of the corresponding integral operator. This, in turn, allows us to establish an existence--uniqueness result for the sequence of the equations on the increasing intervals, to construct accordingly a sequence of statistical estimators, and to establish asymptotic consistency.

Full work available at URL: https://arxiv.org/abs/1508.02842

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zbMATH Keywords

fractional Brownian motionmaximum likelihood estimatorcompact operatorFredholm integral equationweakly singular kernelasymptotic consistency

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Fredholm integral equations (45B05)

Cites Work

• 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
• Transformation formulas for fractional Brownian motion

Cited In (3)

• Maximum likelihood drift estimation for the mixing of two fractional Brownian motions
• Maximum likelihood estimation for Gaussian process with nonlinear drift
• Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations

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