Exact maximum likelihood estimators for drift fractional Brownian motions

2009/04/27 by Yaozhong Hu, Hu Yaozhong, Xiao Weilin +4
Economics, Econometrics and Finance · Engineering · Mathematics · #60H07 #62G05 #Applications (stat.AP) #FOS: Computer and information sciences #FOS: Mathematics #Financial Risk and Volatility Modeling #Power Line Communications and Noise #Probability (math.PR) #Statistics Theory (math.ST) #Stochastic processes and financial applications #math.PR #math.ST #msc:60H07 #msc:62G05 #stat.AP #stat.TH

paper · pdf · doi:10.48550/arxiv.0904.4186

arxiv created 2009/04/27 · openalex publication_date 2009/04/27 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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