ASYMPTOTIC PROPERTIES OF NON-STANDARD DRIFT PARAMETER ESTIMATORS IN THE MODELS INVOLVING FRACTIONAL BROWNIAN MOTION

被引:0
作者
Khlifa, Meriem Bel Hadj [1 ]
Mishura, Yuliya [2 ]
Zili, Mounir [1 ]
机构
[1] Fac Sci Monastir, Dept Math, Ave Environm, Monastir 5000, Tunisia
[2] Natl Univ Kyiv, Dept Probabil Stat & Actuarial Math, UA-01601 Kiev, Ukraine
关键词
Parameter estimators; fractional Brownian motion; strong consistency; estimation of fractional derivatives;
D O I
暂无
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 investigate the problem of estimation of the unknown drift parameter in the stochastic differential equations driven by fractional Brownian motion, with the coefficients supplying standard existence-uniqueness demands. We consider a particular case when the ratio of drift and diffusion coefficients is non-random, and establish the asymptotic strong consistency of the estimator with different ratios, from many classes of non-random standard functions. Simulations are provided to illustrate our results, and they demonstrate the fast rate of convergence of the estimator to the true value of a parameter.
引用
收藏
页码:73 / 84
页数:12
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