Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional brownian motion
2014 (English)In: Modern stochastics and applications / [ed] Volodymyr Korolyuk, Nikolaos Limnios, Yuliya Mishura, Lyudmyla Sakhno, Georgiy Shevchenko, Springer, 2014, 303-318 p.Chapter in book (Refereed)
In this chapter, we consider a problem of statistical estimation of an unknown drift parameter for a stochastic differential equation driven by fractional Brownian motion. Two estimators based on discrete observations of solution to the stochastic differential equations are constructed. It is proved that the estimators converge almost surely to the parameter value, as the observation interval expands and the distance between observations vanishes. A bound for the rate of convergence is given and numerical simulations are presented. As an auxilliary result of independent interest we establish global estimates for fractional derivative of fractional Brownian motion.
Place, publisher, year, edition, pages
Springer, 2014. 303-318 p.
, Springer optimization and its applications, ISSN 1931-6828 ; 90
Probability Theory and Statistics
Research subject Mathematical Statistics
IdentifiersURN: urn:nbn:se:umu:diva-81372DOI: 10.1007/978-3-319-03512-3_17ISBN: 978-3-319-03511-6ISBN: 978-3-319-03512-3OAI: oai:DiVA.org:umu-81372DiVA: diva2:654775