Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift

In statistical inference on the drift parameter a in the fractional Brownian motion W-t(H) with the Hurst parameter H (0, 1) with a constant drift Y-t(H) = at + W-t(H), there is a large number of options how to do it. We may, for example, base this inference on the properties of the standard normal distribution applied to the differences between the observed values of the process at discrete times. Although such methods are very simple, it turns out that more appropriate is to use inverse methods. Such methods can be generalized to non constant drift. For the hypotheses testing about the drift parameter a, it is more proper to standardize the observed process, and to use inverse methods based on the first exit time of the observed process of a pre-specified interval until some given time. These procedures are illustrated, and their times of decision are compared against the direct approach. Other generalizations are possible when the random part is a symmetric stochastic integral of a known, deterministic function with respect to fractional Brownian motion.