Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling

DOI10.1080/03610926.2011.594540zbMath1411.60059MaRDI QIDQ4929215

Reiichiro Kawai

Publication date: 13 June 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.594540

zbMATH Keywords

fractional Brownian motion; long-range dependence; parametric estimation; high-frequency sampling; local asymptotic normality property; log-likelihood ratios

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

60G22: Fractional processes, including fractional Brownian motion

Related Items

Optimal statistical inference for subdiffusion processes, One-step estimation for the fractional Gaussian noise at high-frequency, Optimal estimation of the rough Hurst parameter in additive noise, Estimation of the Hurst parameter from continuous noisy data, Local asymptotic normality property for fractional Gaussian noise under high-frequency observations, Anomalous spreading and misidentification of spatial random walk models, Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations

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