Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets |
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| Authors: | Weilin Xiao Weiguo Zhang |
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| Institution: | 1. School of Management, Zhejiang University, Hangzhou, P. R. China;2. School of Business and Administration, South China University of Technology, Guangzhou, P. R. China |
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| Abstract: | This article deals with the problem of estimating all the unknown parameters in the drift fractional Brownian motion with discretely sampled data. The estimation procedure is built upon the marriage of the variation method and the ergodic theory. The strong consistencies of these estimators are provided. Moreover, our method and two existing approaches are compared based on the computational running time and the accuracy of estimation via simulation studies. We also apply the proposed method to the real high-frequency financial data within a window of 4 h in the trading day from the Chinese mainland stock market. |
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| Keywords: | Discrete-time observations Drift fractional Brownian motions Ergodic theory Strong consistency Variation method |
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