Quasi-Likelihood Analysis of Fractional Brownian Motion with Constant Drift under High-Frequency Observations

DOI10.1016/J.SPL.2023.110006arXiv2206.05126OpenAlexW4389311994MaRDI QIDQ6401696FDOQ6401696

Authors: Tetsuya Takabatake 

Publication date: 10 June 2022

Abstract: Consider an estimation of the Hurst parameter $Hin(0,1)$ and the volatility parameter $sigma>0$ for a fractional Brownian motion with a drift term under high-frequency observations with a finite time interval. In the present paper, we propose a consistent estimator of the parameter $heta=(H,sigma)$ combining the ideas of a quasi-likelihood function based on a local Gaussian approximation of a high-frequently observed time series and its frequency-domain approximation. Moreover, we prove an asymptotic normality property of the proposed estimator for all $Hin(0,1)$ when the drift process is constant.

Full work available at URL: https://doi.org/10.1016/j.spl.2023.110006

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Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15)

Cited In (2)

• Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
• On the estimation of periodic signals in the diffusion process using a high-frequency scheme

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