On drift parameter estimation in models with fractional Brownian motion

DOI10.1080/02331888.2014.907294zbMATH Open1396.62190arXiv1112.2330OpenAlexW1973307042MaRDI QIDQ5263966FDOQ5263966

Yuliya S. Mishura, Alexander Melnikov, Yu. V. Kozachenko

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

Abstract: We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard estimates and three estimates for the sequential estimation. Model strong consistency and some other properties are proved. The linear model and Ornstein-Uhlenbeck model are studied in detail. As an auxiliary result, an asymptotic behavior of the fractional derivative of the fractional Brownian motion is established.

Full work available at URL: https://arxiv.org/abs/1112.2330

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zbMATH Keywords

parameter estimationsequential estimationstochastic differential equationBrownian motionfractional Brownian motionOrnstein-Uhlenbeck model

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (34)

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• Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\)
• Theoretical and numerical comparisons of the parameter estimator of the fractional Brownian motion
• Probability distributions of extremes of self-similar Gaussian random fields
• Maximum likelihood estimator for the drift of a Brownian flow
• Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
• Estimation of the drift of Riemann-Liouville fractional Brownian motion
• Investigation of sample paths properties for some classes of \(\varphi \)-sub-Gaussian stochastic processes
• Bayesian model selection with fractional Brownian motion
• Divergence of an integral of a process with small ball estimate
• Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
• Drift Parameter Estimation for a Reflected Fractional Brownian Motion Based on its Local Time
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• The multiplicative chaos of \(H=0\) fractional Brownian fields
• Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
• Parameter estimation in optional semimartingale regression models
• Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion
• Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
• Asymptotic behavior of mixed power variations and statistical estimation in mixed models
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• Variance estimator for fractional diffusions with variance and drift depending on time
• PRICING DERIVATIVES IN HERMITE MARKETS
• Title not available (Why is that?)
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• Asymptotic inference for stochastic differential equations driven by fractional Brownian motion
• LAN property for stochastic differential equations with additive fractional noise and continuous time observation
• Asymptotic properties of non-standard drift parameter estimators in the models involving fractional Brownian motion
• Parameter estimation in mixed fractional stochastic heat equation
• Maximum likelihood estimation in the non-ergodic fractional Vasicek model
• Approximation of passage times of \(\gamma\)-reflected processes with FBM input
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
• Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion
• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift

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