Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion

DOI10.1016/S0252-9602(11)60365-2MaRDI QIDQ423299zbMATH OpenFDO

Authors Yaozhong Hu, David Nualart, Wei-Guo Zhang, Weilin Xiao

Publication date 1 June 2012

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0252-9602(11)60365-2

zbMATH Keywords

Berry-Esséen boundscentral limit theoremMalliavin calculusStein's methodstrong consistency

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Markov processes: estimation; hidden Markov models (62M05)

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