Least Squares Estimation for α‐Fractional Bridge with Discrete Observations

Guangjun Shen and Xiuwei Yin

Abstract and Applied Analysis, 2014, vol. 2014, issue 1

Abstract: We consider a fractional bridge defined as dXt=-α(Xt/(T-t))dt+dBtH, 0≤t 1/2 and parameter α > 0 is unknown. We are interested in the problem of estimating the unknown parameter α > 0. Assume that the process is observed at discrete time ti = iΔn, i = 0, …, n, and Tn = nΔn denotes the length of the “observation window.” We construct a least squares estimator α∧n of α which is consistent; namely, α∧n converges to α in probability as n → ∞.

Date: 2014
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https://doi.org/10.1155/2014/748376

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:748376

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