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

页码：127 / 148

页数：22

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