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arXiv · 0904.4186

Exact maximum likelihood estimators for drift fractional Brownian motions

Hu Yaozhong·Xiao Weilin·Zhang Weiguo
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Abstract

This paper deals with the problems of consistence and strong consistence of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. A central limit theorem for these estimators is also obtained by using the Malliavin calculus.

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Hu Yaozhong, Xiao Weilin, Zhang Weiguo. 2009-04-27. Exact maximum likelihood estimators for drift fractional Brownian motions. https://arxiv.org/abs/0904.4186

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