Maximum likelihood drift estimation for the mixing of two fractional Brownian motions

DOI10.1007/978-3-319-07245-6_14MaRDI QIDQ5038286zbMATH OpenOpenAlexFDO

Authors Yuliya S. Mishura

Publication date 30 September 2022

Published in Trends in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.04731

zbMATH Keywords

linear modelmaximum likelihood estimatorunknown drift parameterindependent fractional Brownian motions

Mathematics Subject Classification ID

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

Abstract: We construct the maximum likelihood estimator (MLE) of the unknown drift parameter $hetainmathbbR$ in the linear model $X_t=hetat+sigma{B}^{H_1}(t)+B^{H_2}(t),;tin[0,T],$ where $B^{H_1}$ and $B^{H_2}$ are two independent fractional Brownian motions with Hurst indices $frac12<H_1<H_2<1.$ The formula for MLE is based on the solution of the integral equation with weak polar kernel.

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Cited in

(12)

• Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• Estimation of the drift of Riemann-Liouville fractional Brownian motion
• Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
• Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
• scientific article; zbMATH DE number 6671342 (Why is no real title available?)
• Maximum likelihood estimation for Gaussian process with nonlinear drift
• scientific article; zbMATH DE number 2118867 (Why is no real title available?)
• Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence
• Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations
• AN EFFICIENT MAXIMUM LIKELIHOOD ESTIMATOR FOR TWO-DIMENSIONAL FRACTIONAL BROWNIAN MOTION
• Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions

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