Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions

被引：1

作者：

Nakajima, Shohei ^{[1
]}

Shimizu, Yasutaka ^{[1
]}

机构：

[1] Waseda Univ, Dept Appl Math, Shinjuku Ku, 3-4-1 Okubo, Tokyo 1698555, Japan

来源：

STATISTICS & PROBABILITY LETTERS | 2022年 / 187卷

关键词：

Parameter estimation; Stochastic differential equation; Fractional Brownian motion; Least squares estimator; Asymptotic normality;

D O I：

10.1016/j.spl.2022.109476

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：

We study the problem of parametric estimation for discretely observed stochastic processes driven by fractional Brownian motion with Hurst index H is an element of (1/2, 1). Under some assumptions on the drift coefficient, we obtain the asymptotic normality of the least square estimator of the drift parameter at special rate.(C) 2022 Published by Elsevier B.V.

引用

页数：7

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