Acta mathematica scientia, Series B >
EXACT MAXIMUM LIKELIHOOD ESTIMATOR FOR DRIFT FRACTIONAL BROWNIAN MOTION AT DISCRETE OBSERVATION
Received date: 2010-03-27
Revised date: 2010-07-11
Online published: 2011-09-20
Supported by
This work was supported by the National Science Foundations (DMS0504783; DMS0604207), National Science Fund for Distinguished Young Scholars of China (70825005).
This paper deals with the problems of consistency and strong consistency of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. Both the central limit theorem and the Berry-Ess´een bounds for these estimators are obtained by using the Stein’s method via Malliavin calculus.
HU Yao-Zhong , Nualart David , XIAO Wei-Lin , ZHANG Wei-Guo . EXACT MAXIMUM LIKELIHOOD ESTIMATOR FOR DRIFT FRACTIONAL BROWNIAN MOTION AT DISCRETE OBSERVATION[J]. Acta mathematica scientia, Series B, 2011 , 31(5) : 1851 -1859 . DOI: 10.1016/S0252-9602(11)60365-2
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