Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions

Shohei Nakajima; Yasutaka Shimizu

doi:10.1016/j.spl.2022.109476

Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions

Shohei Nakajima, Yasutaka Shimizu^*

^*この研究の対応する著者

研究成果: Article › 査読

抄録

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.

本文言語	English
論文番号	109476
ジャーナル	Statistics and Probability Letters
巻	187
DOI	https://doi.org/10.1016/j.spl.2022.109476
出版ステータス	Published - 2022 8月

ASJC Scopus subject areas

統計学および確率
統計学、確率および不確実性

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10.1016/j.spl.2022.109476

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引用スタイル

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title = "Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions",

abstract = "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.",

keywords = "Asymptotic normality, Fractional Brownian motion, Least squares estimator, Parameter estimation, Stochastic differential equation",

author = "Shohei Nakajima and Yasutaka Shimizu",

note = "Funding Information: The second author was partially supported by JSPS, Japan KAKENHI Grant Number JP21K03358 and JST CREST JPMJCR14D7, Japan . Publisher Copyright: {\textcopyright} 2022",

year = "2022",

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doi = "10.1016/j.spl.2022.109476",

language = "English",

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journal = "Statistics and Probability Letters",

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AU - Nakajima, Shohei

AU - Shimizu, Yasutaka

PY - 2022/8

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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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