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An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter

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  • Kohei Chiba

    (Osaka University)

Abstract

Let us consider a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter $$1/4

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  • Kohei Chiba, 2020. "An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 319-353, July.
    • Handle: RePEc:spr:sistpr:v:23:y:2020:i:2:d:10.1007_s11203-020-09214-4
    DOI: 10.1007/s11203-020-09214-4
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    References listed on IDEAS

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    1. Katsuto Tanaka & Weilin Xiao & Jun Yu, 2020. "Maximum Likelihood Estimation for the Fractional Vasicek Model," Econometrics, MDPI, vol. 8(3), pages 1-28, August.
    2. Nakahiro Yoshida, 2011. "Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(3), pages 431-479, June.
    3. Alexandre Brouste & Marina Kleptsyna, 2010. "Asymptotic properties of MLE for partially observed fractional diffusion system," Statistical Inference for Stochastic Processes, Springer, vol. 13(1), pages 1-13, April.
    4. Andreas Neuenkirch & Samy Tindel, 2014. "A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise," Statistical Inference for Stochastic Processes, Springer, vol. 17(1), pages 99-120, April.
    5. Nakahiro Yoshida, 1990. "Asymptotic behavior of M-estimator and related random field for diffusion process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(2), pages 221-251, June.
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    Cited by:

    1. Nakajima, Shohei & Shimizu, Yasutaka, 2022. "Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions," Statistics & Probability Letters, Elsevier, vol. 187(C).

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