Parameter identification for mixed fractional Brownian motions with the drift parameter

Chunhao Cai, Xuwen Cheng, Weilin Xiao and Xiang Wu

Physica A: Statistical Mechanics and its Applications, 2019, vol. 536, issue C

Abstract: This paper deals with the problem of estimating the unknown parameters in the drift mixed fractional Brownian motion based on discrete-sampled observations. We construct two different estimators for the drift parameter based on the approximation by random walks of the driving noise and prove the consistency of these two estimators. Some numerical simulations are also presented to illustrate the performance of these maximum likelihood estimators. Empirical examples are given to illustrate the potential applications of these proposed estimators.

Keywords: Maximum likelihood estimation; Mixed fractional Brownian motions; Euler–Murayama scheme; Donsker type approximation (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119305783

DOI: 10.1016/j.physa.2019.04.178

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