Parameter estimation in rough Bessel model
Probability
2023-05-25 v1
Abstract
In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with . As an auxiliary result, we also prove the continuity of the fractional Bessel process. The results are illustrated with simulations.
Cite
@article{arxiv.2305.15205,
title = {Parameter estimation in rough Bessel model},
author = {Yuliya Mishura and Anton Yurchenko-Tytarenko},
journal= {arXiv preprint arXiv:2305.15205},
year = {2023}
}