Stein estimators for the drift of the mixing of two fractional Brownian motions

Kouider Djerfi, Ghaouti Djellouli and Fethi Madani

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 6, 1891-1905

Abstract: In this paper, we consider the problem of efficient estimation for the drift parameter θ∈Rd in the linear model Zt:=θt+σ1BH1(t)+σ2BH2(t), t∈[0,T]. Where BH1 and BH2 are two independent d-dimensional fractional Brownian motions with Hurst indices H1 and H2 such that 12≤H1

Date: 2024
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DOI: 10.1080/03610926.2022.2122838

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