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)

zbMATH Keywords

strong consistencyMalliavin calculuscentral limit theoremStein's methodBerry-Esséen bounds

Mathematics Subject Classification ID

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

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• Non parametric estimation for fractional diffusion processes with random effects
• On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion
• Maximum likelihood estimation for Gaussian process with nonlinear drift
• Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion
• On moments of Pitman estimators: the case of fractional Brownian motion
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• Parameter identification for mixed fractional Brownian motions with the drift parameter
• Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
• Statistical inference for models driven by 𝑛-th order fractional Brownian motion
• Drift estimation with non-Gaussian noise using Malliavin calculus
• Drift parameter estimation for a reflected fractional Brownian motion based on its local time
• Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
• Default probability of American lookback option in a mixed jump-diffusion model
• Fixed width interval estimation for the reciprocal drift of Brownian motion
• AN EFFICIENT MAXIMUM LIKELIHOOD ESTIMATOR FOR TWO-DIMENSIONAL FRACTIONAL BROWNIAN MOTION
• Nonparametric estimation for small fractional diffusion processes with random effects
• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• Parameter identification for the discretely observed geometric fractional Brownian motion
• Estimation of the drift of fractional Brownian motion
• Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process

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