Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk

Nenghui Kuang () and Huantian Xie

Annals of the Institute of Statistical Mathematics, 2015, vol. 67, issue 1, 75-91

Abstract: We estimate the drift parameter in a simple linear model driven by sub-fractional Brownian motion. We construct a maximum likelihood estimator (MLE) for the drift parameter by using a random walk approximation of the sub-fractional Brownian motion and study the asymptotic behaviors of the estimator. Simulations confirm the theoretical results and indicate superiority of the new proposed estimator. Copyright The Institute of Statistical Mathematics, Tokyo 2015

Keywords: Maximum likelihood estimator; Sub-fractional Brownian motion; Random walk (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s10463-013-0439-4 (text/html)
Access to full text is restricted to subscribers.

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:spr:aistmt:v:67:y:2015:i:1:p:75-91

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2

DOI: 10.1007/s10463-013-0439-4

Access Statistics for this article

Annals of the Institute of Statistical Mathematics is currently edited by Tomoyuki Higuchi

More articles in Annals of the Institute of Statistical Mathematics from Springer, The Institute of Statistical Mathematics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().