A general drift estimation procedure for stochastic differential equations with additive fractional noise
Statistics Theory
2020-07-16 v2 Probability
Statistics Theory
Abstract
In this paper we consider the drift estimation problem for a general differential equation driven by an additive multidimensional fractional Brownian motion, under ergodic assumptions on the drift coefficient. Our estimation procedure is based on the identification of the invariant measure, and we provide consistency results as well as some information about the convergence rate. We also give some examples of coefficients for which the identifiability assumption for the invariant measure is satisfied.
Keywords
Cite
@article{arxiv.1903.10769,
title = {A general drift estimation procedure for stochastic differential equations with additive fractional noise},
author = {Fabien Panloup and Samy Tindel and Maylis Varvenne},
journal= {arXiv preprint arXiv:1903.10769},
year = {2020}
}