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

zbMATH Keywords

Fredholm integral equationfractional Brownian motioncompact operatormaximum likelihood estimatorasymptotic consistencyweakly singular kernel

Mathematics Subject Classification ID

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

Related Items (1)

Maximum likelihood estimation for Gaussian process with nonlinear drift

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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