Parametric Estimation for Processes Driven by Infinite Dimensional Mixed\n Fractional Brownian Motion

2021/03/09 by Б. Л. С. Пракаса Рао, Rao, B. L. S. Prakasa
Economics, Econometrics and Finance · Mathematics · #60G22 #60H15 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.2103.05264

openalex publication_date 2021/03/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Parametric and nonparametric inference for stochastic processes driven by a\nfractional Brownian motion were investigated in Mishura (2008) and Prakasa\nRao(2010) among others. Similar problems for processes driven by an infinite\ndimensional fractional Brownian motion were studied in Prakasa Rao (2004,2013),\nCialenco (2009) and others. Parametric estimation for processes driven by\ninfinite dimensional mixed fractional Brownian motion is discussed in this\narticle.\n

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