An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter

被引：5
|
作者：
Chiba, Kohei [1 ]
机构：
[1] Osaka Univ, Grad Sch Engn Sci, 1-3 Machikaneyama Cho, Toyonaka, Osaka, Japan
来源：
STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES | 2020年 / 23卷 / 02期
关键词：
Fractional Brownian motion; Drift parameter estimation; Consistency; Asymptotic normality; Moment convergence;
D O I：
10.1007/s11203-020-09214-4
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Let us consider a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter 1/4<H<1/2. We are interested in estimating the drift parameter from the completely observed data. We propose an M-estimator for the drift parameter. Under some assumptions on the drift coefficient, our estimator has consistency, asymptotic normality and moment convergence property.
引用
收藏
页码：319 / 353
页数：35
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