EXACT MAXIMUM LIKELIHOOD ESTIMATOR FOR DRIFT FRACTIONAL BROWNIAN MOTION AT DISCRETE OBSERVATION

被引：0

作者：

Hu Yaozhong ^{[2
]}

David, Nualart ^{[2
]}

Xiao Weilin ^{[1
]}

Zhang Weiguo ^{[1
]}

机构：

[1] S China Univ Technol, Sch Business & Adm, Guangzhou 510641, Peoples R China

[2] Univ Kansas, Dept Math, Lawrence, KS 66045 USA

来源：

ACTA MATHEMATICA SCIENTIA | 2011年 / 31卷 / 05期

关键词：

maximum likelihood estimator; fractional Brownian motions; strong consistency; central limit theorem; Berry-Esseen bounds; Stein's method; Malliavin calculus; MALLIAVIN CALCULUS; TIME-SERIES; MODEL;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper deals with the problems of consistency and strong consistency of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. Both the central limit theorem and the Berry-Esseen bounds for these estimators are obtained by using the Stein's method via Malliavin calculus.

引用

页码：1851 / 1859

页数：9

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