Asymptotically normal estimation of parameters of mixed fractional Brownian motion
DOI:
https://doi.org/10.17721/1812-5409.2023/2.6Keywords:
Fractional Brownian motion, Wiener process, mixed model, parameter estimation, asymptotic distributionAbstract
We investigate the mixed fractional Brownian motion of the form Xt = σ Wt + κ BtH, driven by a standard Brownian motion W and a fractional Brownian motion BH with Hurst parameter H. We consider strongly consistent estimators of unknown model parameters (H, κ, σ) based on the equidistant observations of a trajectory. Joint asymptotic normality of these estimators is proved for H ∈ (0, 1/2) ∪ (1/2, 3/4).
Pages of the article in the issue: 54 - 62
Language of the article: English
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