TY - JOUR
T1 - Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions
AU - Nakajima, Shohei
AU - Shimizu, Yasutaka
N1 - Funding Information:
The second author was partially supported by JSPS, Japan KAKENHI Grant Number JP21K03358 and JST CREST JPMJCR14D7, Japan .
Publisher Copyright:
© 2022
PY - 2022/8
Y1 - 2022/8
N2 - We study the problem of parametric estimation for discretely observed stochastic processes driven by fractional Brownian motion with Hurst index H∈(1/2,1). Under some assumptions on the drift coefficient, we obtain the asymptotic normality of the least square estimator of the drift parameter at special rate.
AB - We study the problem of parametric estimation for discretely observed stochastic processes driven by fractional Brownian motion with Hurst index H∈(1/2,1). Under some assumptions on the drift coefficient, we obtain the asymptotic normality of the least square estimator of the drift parameter at special rate.
KW - Asymptotic normality
KW - Fractional Brownian motion
KW - Least squares estimator
KW - Parameter estimation
KW - Stochastic differential equation
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U2 - 10.1016/j.spl.2022.109476
DO - 10.1016/j.spl.2022.109476
M3 - Article
AN - SCOPUS:85129266965
SN - 0167-7152
VL - 187
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
M1 - 109476
ER -