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

页码：778 / 789

页数：12

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