Least squares estimator for $$\alpha $$ α -sub-fractional bridges

Nenghui Kuang () and Bingquan Liu
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Nenghui Kuang: Hunan University of Science and Technology
Bingquan Liu: Weinan Normal University

Statistical Papers, 2018, vol. 59, issue 3, No 3, 893-912

Abstract: Abstract Let $$\alpha , T>0$$ α , T > 0 . We investigate the asymptotic properties of a least squares estimator (LSE) for the parameter $$\alpha $$ α of a sub-fractional bridge defined as $$dX_t=-\alpha \frac{X_t}{T-t}dt+dS_t^H, 0\le t

Keywords: Least squares estimator; Sub-fractional Brownian motion; $$\alpha $$ α -sub-fractional bridge; 62M05; 62F12; 60J60 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s00362-016-0795-2

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