Drift parameter estimation in fractional diffusions driven by perturbed random walks

Karine Bertin, Soledad Torres and Ciprian A. Tudor

Statistics & Probability Letters, 2011, vol. 81, issue 2, 243-249

Abstract: We estimate the drift parameter in a simple linear model driven by fractional Brownian motion. We propose maximum likelihood estimators (MLE) for the drift parameter construct by using a random walk approximation of the fractional Brownian motion.

Keywords: Fractional; Brownian; motion; Maximum; likelihood; estimation; Random; walk (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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