Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations

DOI10.15559/23-VMSTA234MaRDI QIDQ6494475zbMATH OpenFDO

Authors K. V. Ral'chenko, Mykyta Yakovliev

Publication date 30 April 2024

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15559/23-VMSTA234

zbMATH Keywords

asymptotic normalityergodic theoremfractional Brownian motionmixed modelstrong 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

• Asymptotic behavior of mixed power variations and statistical estimation in mixed models
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• Further remarks on mixed fractional Brownian motion
• scientific article; zbMATH DE number 5502200 (Why is no real title available?)
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
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• Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
• Maximum-likelihood estimators in the mixed fractional Brownian motion
• Mixed fractional Brownian motion
• Mixed Gaussian processes: a filtering approach
• On the mixed fractional Brownian motion
• Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions
• Parameter estimation in fractional diffusion models
• Pricing currency options in the mixed fractional Brownian motion
• Quantitative Breuer-Major theorems
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• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend

Cited in

(4)

• Estimation of mixed fractional stable processes using high-frequency data
• Asymptotically normal estimation of parameters of mixed fractional Brownian motion
• The parameter identification of stochastic dynamical system driven by multiplicative mixed fractional Brownian motion
• Statistical inference for nth-order mixed fractional Brownian motion with polynomial drift

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