The rate of convergence of Hurst index estimate for the stochastic differential equation
From MaRDI portal
Publication:454862
DOI10.1016/j.spa.2012.06.011zbMath1255.60065arXiv1111.6711WikidataQ115341152 ScholiaQ115341152MaRDI QIDQ454862
Kęstutis Kubilius, Yuliya S. Mishura
Publication date: 10 October 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1111.6711
rate of convergence; fractional Brownian motion; estimates of Hurst parameter; first- and second-order quadratic variations; stochastic differential eqaution
60G22: Fractional processes, including fractional Brownian motion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
Related Items
On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process, The rate of convergence of the Hurst index estimate for a stochastic differential equation, Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion, Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model, Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift, On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion, Maximum likelihood estimators of a long-memory process from discrete observations, Total variation estimates in the Breuer-Major theorem, Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise, Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
- Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
- Central and non-central limit theorems for weighted power variations of fractional Brownian motion
- Estimation in models driven by fractional Brownian motion
- Quadratic variations along irregular subdivisions for Gaussian processes
- Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Differential equations driven by fractional Brownian motion
- Identification of filtered white noises
- Gaussian measures in \(B_p^1\)
- Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
- Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
- Stochastic calculus for fractional Brownian motion and related processes.
- Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
- An inequality of the Hölder type, connected with Stieltjes integration
- Concrete Functional Calculus
- A New Limit Theorem for Stochastic Processes with Gaussian Increments
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Harmonic Analysis of Local Times and Sample Functions of Gaussian Processes
- A Bound on Tail Probabilities for Quadratic Forms in Independent Random Variables
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
