Parameter estimation for rough differential equations
Probability
2011-12-16 v3 Statistics Theory
Statistics Theory
Abstract
We construct the "expected signature matching" estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estimate parameters of a diffusion and a fractional diffusions, that is, a differential equation driven by fractional Brownian motion.
Cite
@article{arxiv.0812.3102,
title = {Parameter estimation for rough differential equations},
author = {Anastasia Papavasiliou and Christophe Ladroue},
journal= {arXiv preprint arXiv:0812.3102},
year = {2011}
}
Comments
Published in at http://dx.doi.org/10.1214/11-AOS893 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)