Asymptotic properties of non-standard drift parameter estimators in the models involving fractional Brownian motion

DOI10.1090/TPMS/1010MaRDI QIDQ5351664zbMATH OpenOpenAlexFDO

Authors Meriem Bel Hadj Khlifa, Mounir Zili, Yuliya S. Mishura

Publication date 30 August 2017

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/tpms/1010

zbMATH Keywords

estimationfractional Brownian motionparameter estimatorsstrong consistency

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12)

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Cites work

• Differential equations driven by fractional Brownian motion
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• Integration with respect to fractal functions and stochastic calculus. I
• On drift parameter estimation in models with fractional Brownian motion
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical aspects of the fractional stochastic calculus
• Stochastic calculus for fractional Brownian motion and related processes.

Cited in

(5)

• scientific article; zbMATH DE number 2169687 (Why is no real title available?)
• Asymptotics of minimum distance estimator of the parameter of stochastic process driven by a fractional Brownian motion
• Estimators for the Drift of Subfractional Brownian Motion
• Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift
• Quasi-Likelihood Analysis of Fractional Brownian Motion with Constant Drift under High-Frequency Observations

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