Least Squares Estimation for -Fractional Bridge with Discrete Observations

Guangjun Shen and Xiuwei Yin

Abstract and Applied Analysis, 2014, vol. 2014, 1-8

Abstract:

We consider a fractional bridge defined as , where is a fractional Brownian motion of Hurst parameter and parameter is unknown. We are interested in the problem of estimating the unknown parameter . Assume that the process is observed at discrete time , and denotes the length of the “observation window.” We construct a least squares estimator of which is consistent; namely, converges to in probability as .

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:748376

DOI: 10.1155/2014/748376

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