Parameter estimation for rough differential equations
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Publication:651024
DOI10.1214/11-AOS893zbMATH Open1230.62109arXiv0812.3102OpenAlexW3101563084MaRDI QIDQ651024FDOQ651024
Christophe Ladroue, Anastasia Papavasiliou
Publication date: 8 December 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We construct the "expected signature matching" estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estimate parameters of a diffusion and a fractional diffusions, that is, a differential equation driven by fractional Brownian motion.
Full work available at URL: https://arxiv.org/abs/0812.3102
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99)
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Cited In (9)
- A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
- Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
- Feature engineering with regularity structures
- Infinite-dimensional polynomial processes
- Nonparametric inference for fractional diffusion
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