Parameter identification for the discretely observed geometric fractional Brownian motion

DOI10.1080/00949655.2013.814135zbMath1457.62249MaRDI QIDQ5220717

Xi-Li Zhang, Wei-Guo Zhang, Wei-Lin Xiao

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2013.814135

zbMATH Keywords

maximum likelihood estimation; asymptotic behaviour; discrete observations; quadratic variation; geometric fractional Brownian motion

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G22: Fractional processes, including fractional Brownian motion

62M09: Non-Markovian processes: estimation

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H07: Stochastic calculus of variations and the Malliavin calculus

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Uses Software

• SimEstFBM

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