Drift parameter estimation in fractional diffusions driven by perturbed random walks

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.

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Year of publication:	2011
Authors:	Bertin, Karine ; Torres, Soledad ; Tudor, Ciprian A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 2, p. 243-249
Publisher:	Elsevier
Keywords:	Fractional Brownian motion Maximum likelihood estimation Random walk

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008868957