Skip to main content
Article thumbnail
Location of Repository

EXACT MAXIMUM LIKELIHOOD ESTIMATOR FOR DRIFT FRACTIONAL BROWNIAN MOTION AT DISCRETE OBSERVATION

By Yaozhong Hu, Weilin Xiao and Weiguo Zhang

Abstract

This paper deals with the problems of consistence and strong consistence of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. A central limit theorem for these estimators is also obtained by using the Malliavin calculus. 1. Introduction. Lon

OAI identifier: oai:CiteSeerX.psu:10.1.1.315.3683
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://arxiv.org/pdf/0904.4186... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.