Asymptotic Normality of Parameter Estimators for Mixed Fractional Brownian Motion with Trend

被引：1
|
作者：
Ralchenko, Kostiantyn [1 ]
Yakovliev, Mykyta [1 ]
机构：
[1] Taras Shevchenko Natl Univ Kyiv, Dept Probabil Stat & Actuarial Math, 64-13 Volodymyrska St, UA-01601 Kiev, Ukraine
来源：
AUSTRIAN JOURNAL OF STATISTICS | 2023年 / 52卷
关键词：
Fractional Brownian motion; Wiener process; mixed model; asymptotic distribu-tion; EQUITY WARRANTS; PRICING MODEL;
D O I：
10.17713/ajs.v52iSI.1770
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 mixed fractional Brownian motion of the form Xt = & theta;t+& sigma;Wt+& kappa;BtH, driven by a standard Brownian motion W and a fractional Brownian motion BH with Hurst parameter H. We consider strongly consistent estimators of unknown model param-eters (& theta;, H, & sigma;, & kappa;) based on the equidistant observations of a trajectory. Joint asymptotic normality of these estimators is proved for H & ISIN; (0, 21).
引用
收藏
页码：127 / 148
页数：22
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