On drift parameter estimation in models with fractional Brownian motion |
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Authors: | Y Kozachenko Y Mishura |
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Institution: | Department of Probability, Statistics and Actuarial Mathematics, Mechanics and Mathematics Faculty, Taras Shevchenko National University of Kyiv, Volodymyrska, 60, 01601 Kyiv, Ukraine |
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Abstract: | We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard estimates and three estimates for the sequential estimation. Model strong consistency and some other properties are proved. The linear model and Ornstein–Uhlenbeck model are studied in detail. As an auxiliary result, an asymptotic behaviour of the fractional derivative of the fractional Brownian motion is established. |
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Keywords: | fractional Brownian motion Brownian motion parameter estimation stochastic differential equation sequential estimation |
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