Exact maximum likelihood estimators for drift fractional Brownian motions
Statistics Theory
2009-04-28 v1 Probability
Applications
Statistics Theory
Abstract
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.
Keywords
Cite
@article{arxiv.0904.4186,
title = {Exact maximum likelihood estimators for drift fractional Brownian motions},
author = {Hu Yaozhong and Xiao Weilin and Zhang Weiguo},
journal= {arXiv preprint arXiv:0904.4186},
year = {2009}
}