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

DOI10.1016/S0252-9602(11)60365-2zbMATH Open1245.62099MaRDI QIDQ423299FDOQ423299

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)

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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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• 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
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• Drift estimation with non-Gaussian noise using Malliavin calculus
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• Parameter identification for the discretely observed geometric fractional Brownian motion
• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• Estimation of the drift of fractional Brownian motion
• Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process

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