Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
The Hurst exponent \(H\) (\(0<H<1\)) is called in honor of the hydrologist Harold Edwin Hurst who studied the fluctuations of the water level in the Nile river. The Hurst parameter \(H\) determines the smoothness of the trajectories of a fractional Brownian motion. \(H\) is closer to 1 for more regular trajectories. In these Lecture Notes, the authors develop estimation techniques for the Hurst parameter \(H\) and the volatility (called local variance by the authors). They use the observation of the process in a discrete mesh of points and study the asymptotic properties when the meshs distance tends to zero. For inference on \(H\) the authors use the second order increments of the process (instead of the first order increments) since variation built through them are asymptotically Gaussian in all the range \(0<H<1\). After estimating \(H\), the authors study volatility estimators in four pseudo-diffussion models. Particularly noteworthy is the simulation part of the book with a detailed description of the used algorithms. The book has eight chapters. Chapter 1 (Introduction) presents the necessary central limit theorems, Chapter 2 (Preliminaries) introduces fractional Brownian motion, stochastic integration and complex Wiener chaos. Chapter 3 contains the theoretical results on the estimators of \(H\) and the volatility and Chapter 4 the simulation studies. Chapter 5 presents all the proofs for Chapter 3. Complementary results can be found in the small Chapter 6. Tables and figures related to the simulation study are collected in Chapter 7. Chapter 8 presents some Pascal procedures used in the simulation part. The Lecture Notes are recommended for graduate courses in statistics of Gaussian processes and fractional models.
- Parameter estimation in fractional diffusion models
- Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion
- Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
- Convergence in fractional models and applications
- Large deviations and Wschebor's theorems
- Pathwise least-squares estimator for linear SPDEs with additive fractional noise
- On the eigenproblem for Gaussian bridges
- Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point
- Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation
- Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
- Maximum likelihood estimation in the non-ergodic fractional Vasicek model
- Difference based estimators and infill statistics
- Variance estimator for fractional diffusions with variance and drift depending on time
- Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
- Historical survey: the chronicles of fractional calculus
- The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications
- Conditions for singularity for measures generated by two fractional psuedo-diffusion processes
- Statistical inference for fractional diffusion processes
- 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
- A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
- Baxter estimates of the Hurst parameter of fractional Brownian motion
- Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation
- Discrete-time inference for slow-fast systems driven by fractional Brownian motion
- Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
- Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by H-valued fractional Brownian motion
- Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations
- Calibrating fractional Vasicek model
- The total variation distance between the solutions to stochastic Volterra equations and SDEs with its applications
- Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
- Power Brownian motion: an Ornstein-Uhlenbeck lookout
- Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
- Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means
- Taylor's law from Gaussian diffusions
- The linear self-attracting diffusion driven by the weighted-fractional Brownian motion. II: The parameter estimation
- Drift parameter estimation for tempered fractional Ornstein-Uhlenbeck processes based on discrete observations
- Brownian `supermodel' for diffusion
- Extension of a theorem of Wschebor to free and matrix Brownian motions
- Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
- On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
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