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

DOI10.1007/978-3-319-07245-6_14zbMATH Open1498.60152arXiv1506.04731OpenAlexW2205654605MaRDI QIDQ5038286FDOQ5038286

Authors: Yuliya S. Mishura 

Publication date: 30 September 2022

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

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.

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

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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)

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Cited In (12)

• 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
• Title not available (Why is that?)
• Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
• Maximum likelihood estimation for Gaussian process with nonlinear drift
• Title not available (Why is that?)
• 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
• Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift

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