Exact maximum likelihood estimators for drift fractional Brownian motions

By Yaozhong Hu, Weilin Xiao, Weiguo Zhang. 2009

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This paper deals with the problems of consistence and strong consistence of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. A central limit theorem for these estimators is also obtained by using the Malliavin calculus.

Subfields: Electrical and Electronic Engineering, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/7991dff51a80da4ab5b99a24ecab726dfd55ac2d