Estimators for the Drift of Subfractional Brownian Motion

Guangjun Shen and Litan Yan

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 8, 1601-1612

Abstract: In this paper, we consider, using technique based on Girsanov theorem, the problem of efficient estimation for the drift of subfractional Brownian motion SH ≔ (SHt)t ∈ [0, T]. We also construct a class of biased estimators of James-Stein type which dominate, under the usual quadratic risk, the natural maximum likelihood estimator.

Date: 2014
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DOI: 10.1080/03610926.2012.697243

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