On a computable Skorokhod's integral‐based estimator of the drift parameter in fractional SDE

Nicolas Marie

Scandinavian Journal of Statistics, 2025, vol. 52, issue 1, 1-37

Abstract: This paper deals with a Skorokhod's integral‐based least squares‐ (LS) type estimator of the drift parameter computed from multiple (possibly dependent) copies of the solution of a stochastic differential equation (SDE) driven by a fractional Brownian motion of Hurst index H∈(1/3,1)$$ H\in \left(1/3,1\right) $$. On the one hand, some convergence results are established on our LS estimator when H=1/2$$ H=1/2 $$. On the other hand, when H≠1/2$$ H\ne 1/2 $$, Skorokhod's integral‐based estimators cannot be computed from data, but in this paper some convergence results are established on a computable approximation of our LS estimator.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/sjos.12711

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:52:y:2025:i:1:p:1-37

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0303-6898

Access Statistics for this article

Scandinavian Journal of Statistics is currently edited by ÿrnulf Borgan and Bo Lindqvist

More articles in Scandinavian Journal of Statistics from Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association, Swedish Statistical Association
Bibliographic data for series maintained by Wiley Content Delivery ().