Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk

被引：0
作者：
Nenghui Kuang
Huantian Xie
机构：
[1] Hunan University of Science and Technology,School of Mathematics and Computing Science
[2] Wuhan University,School of Mathematics and Statistics
[3] Linyi University,School of Science
来源：
Annals of the Institute of Statistical Mathematics | 2015年 / 67卷
关键词：
Maximum likelihood estimator; Sub-fractional Brownian motion; Random walk;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We estimate the drift parameter in a simple linear model driven by sub-fractional Brownian motion. We construct a maximum likelihood estimator (MLE) for the drift parameter by using a random walk approximation of the sub-fractional Brownian motion and study the asymptotic behaviors of the estimator. Simulations confirm the theoretical results and indicate superiority of the new proposed estimator.
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页码：75 / 91
页数：16
相关论文
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