An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter

Kohei Chiba ()
Additional contact information
Kohei Chiba: Osaka University

Statistical Inference for Stochastic Processes, 2020, vol. 23, issue 2, No 5, 319-353

Abstract: Abstract Let us consider a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter $$1/4

Keywords: Fractional Brownian motion; Drift parameter estimation; Consistency; Asymptotic normality; Moment convergence; 62M09 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s11203-020-09214-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:sistpr:v:23:y:2020:i:2:d:10.1007_s11203-020-09214-4

Ordering information: This journal article can be ordered from
http://www.springer. ... ty/journal/11203/PS2

DOI: 10.1007/s11203-020-09214-4

Access Statistics for this article

Statistical Inference for Stochastic Processes is currently edited by Denis Bosq, Yury A. Kutoyants and Marc Hallin

More articles in Statistical Inference for Stochastic Processes from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().