The rate of convergence of Hurst index estimate for the stochastic differential equation
We consider a stochastic differential equation involving a pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed values of the solution. The rate of convergence of these estimates to the true value of a parameter is established when the diameter of interval partition tends to zero.
Volume (Year): 122 (2012)
Issue (Month): 11 ()
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