On inference for fractional differential equations
Probability
2013-08-05 v1 Statistics Theory
Statistics Theory
Abstract
Based on Malliavin calculus tools and approximation results, we show how to compute a maximum likelihood type estimator for a rather general differential equation driven by a fractional Brownian motion with Hurst parameter H>1/2. Rates of convergence for the approximation task are provided, and numerical experiments show that our procedure leads to good results in terms of estimation.
Cite
@article{arxiv.1104.3966,
title = {On inference for fractional differential equations},
author = {Alexandra Chronopoulou and Samy Tindel},
journal= {arXiv preprint arXiv:1104.3966},
year = {2013}
}
Comments
33 pages, 2 figures