Estimation of the drift of Riemann-Liouville fractional Brownian motion

Farah Fatima-Ezzahra

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 13, 4719-4728

Abstract: We consider the problem of efficient estimation of the drift of Riemann-Liouville fractional Brownian motion XH:=(XtH)t∈[0,T] with Hurst parameter H less than 12. We also construct superefficient James-Stein type estimators which dominate under the usual quadratic risk, the natural maximum likelihood estimator.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2021.1999475 (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:taf:lstaxx:v:52:y:2023:i:13:p:4719-4728

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2021.1999475

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().