On estimations for the parameters of fractional diffusion models and their applications

zbMATH Open1399.62032MaRDI QIDQ4642971FDOQ4642971

Authors: Xiaoxia Sun, Yinhui Shi 

Publication date: 25 May 2018

Recommendations

• Parameter estimation for fractional diffusion process with discrete observations
• scientific article; zbMATH DE number 2169687
• Drift parameter estimation in the models involving fractional Brownian motion
• On drift parameter estimation in models with fractional Brownian motion
• Drift parameter estimation in fractional diffusions driven by perturbed random walks

zbMATH Keywords

fractional Brownian motionleast squares estimatorsasymptotically normal distributionstrong consistence

Mathematics Subject Classification ID

Point estimation (62F10) Fractional processes, including fractional Brownian motion (60G22)

Cited In (9)

• A new fractional modified exponential curve model and its applications
• Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
• Theoretical and numerical comparisons of the parameter estimator of the fractional Brownian motion
• Parameter estimation for the fractional fractal diffusion model based on its numerical solution
• Indirect inference in fractional short-term interest rate diffusions
• Parameter estimation for fractional diffusion process with discrete observations
• Parameter estimation in fractional diffusion models
• Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation
• Parameter and differentiation order estimation in fractional models

This page was built for publication: On estimations for the parameters of fractional diffusion models and their applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4642971)