Drift parameter estimation in fractional diffusions driven by perturbed random walks

作者：Bertin Karine^*; Torres Soledad; Tudor Ciprian A

来源：Statistics & Probability Letters, 2011, 81(2): 243-249.

DOI：10.1016/j.spl.2010.10.003

• Fractional Brownian motion
• Maximum likelihood estimation
• Random walk

We estimate the drift parameter in a simple linear model driven by fractional Brownian motion. We propose maximum likelihood estimators (MLE) for the drift parameter construct by using a random walk approximation of the fractional Brownian motion.

• 出版日期2011-2