Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation

被引：16
|
作者：
Kuang, Nenghui [1 ,3 ]
Liu, Bingquan [2 ]
机构：
[1] Hunan Univ Sci & Technol, Sch Math & Comp Sci, Xiangtan 411201, Hunan, Peoples R China
[2] Weinan Normal Univ, Sch Math & Informat Sci, Weinan 714000, Peoples R China
[3] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China
来源：
BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS | 2015年 / 29卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Maximum likelihood estimator; sub-fractional Brownian motion; Stein's method; Malliavin calculus; MALLIAVIN CALCULUS; TIME-SERIES;
D O I：
10.1214/14-BJPS246
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：
In this paper, we investigate the L-2-consistency and the strong consistency of the maximum likelihood estimators (MLE) of the mean and variance of the sub-fractional Brownian motion with drift at discrete observation. By combining the Stein's method with Malliavin calculus, we obtain the central limit theorem and the Berry-Esseen bounds for these estimators.
引用
收藏
页码：778 / 789
页数：12
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