Estimation of the lead–lag parameter between two stochastic processes driven by fractional Brownian motions

Kohei Chiba ()
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Kohei Chiba: The University of Tokyo

Statistical Inference for Stochastic Processes, 2019, vol. 22, issue 3, No 1, 323-357

Abstract: Abstract In this paper, we consider the problem of estimating the lead–lag parameter between two stochastic processes driven by fractional Brownian motions (fBMs) of the Hurst parameter greater than 1/2. First we propose a lead–lag model between two stochastic processes involving fBMs, and then construct a consistent estimator of the lead–lag parameter with possible convergence rate. Our estimator has the following two features. Firstly, we can construct the lead–lag estimator without using the Hurst parameters of the underlying fBMs. Secondly, our estimator can deal with some non-synchronous and irregular observations. We explicitly calculate possible convergence rate when the observation times are (1) synchronous and equidistant, and (2) given by the Poisson sampling scheme. We also present numerical simulations of our results using the R package YUIMA.

Keywords: Fractional Brownian motion; Lead–lag effect; Non-synchronous observations; Contrast estimation; 62M09; 60G22 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11203-018-09195-5

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