Let alpha,T>0. We study the asymptotic properties of a least squares
estimator for the parameter alpha of a fractional bridge defined as
dX_t=-alpha*X_t/(T-t)dt+dB_t, with t in [0,T) and where B is a fractional
Brownian motion of Hurst index H>1/2. Depending on the value of alpha, we prove
that we may have strong consistency or not as t tends to T. When we have
consistency, we obtain the rate of this convergence as well. Also, we compare
our results to the (known) case where B is replaced by a standard Brownian
motion W.Comment: 21 pages. To appear in the Festschrift in Honor of David Nualart, a
volume to be published by Springer in the Proceedings in Mathematics Serie
