Asymptotic Normality of Parameter Estimators for~Mixed Fractional Brownian Motion with Trend

IF 0.6 Q4 STATISTICS & PROBABILITY

Austrian Journal of Statistics Pub Date : 2023-08-15 DOI:10.17713/ajs.v52isi.1770

K. Ralchenko, Mykyta Yakovliev

引用次数: 0

Abstract

We investigate the mixed fractional Brownian motion of the form Xt = θt+σWt +κBtH , driven by a standard Brownian motion W and a fractional Brownian motion B H with Hurst parameter H. We consider strongly consistent estimators of unknown model parameters (θ, H, σ, κ) based on the equidistant observations of a trajectory. Joint asymptotic normality of these estimators is proved for H ∈ (0, 12 ).

查看原文本刊更多论文

具有趋势的混合分数布朗运动参数估计的渐近正态性

我们研究了由标准布朗运动W和带有Hurst参数H的分数布朗运动B H驱动的Xt = θt+σ wt +κ bth形式的混合分数布朗运动。我们考虑了基于轨迹等距观测的未知模型参数(θ， H， σ， κ)的强一致估计。对于H∈(0,12)证明了这些估计量的联合渐近正态性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Austrian Journal of Statistics STATISTICS & PROBABILITY-

CiteScore

1.10

自引率

0.00%

发文量

审稿时长

24 weeks

期刊介绍： The Austrian Journal of Statistics is an open-access journal (without any fees) with a long history and is published approximately quarterly by the Austrian Statistical Society. Its general objective is to promote and extend the use of statistical methods in all kind of theoretical and applied disciplines. The Austrian Journal of Statistics is indexed in many data bases, such as Scopus (by Elsevier), Web of Science - ESCI by Clarivate Analytics (formely Thompson & Reuters), DOAJ, Scimago, and many more. The current estimated impact factor (via Publish or Perish) is 0.775, see HERE, or even more indices HERE. Austrian Journal of Statistics ISNN number is 1026597X Original papers and review articles in English will be published in the Austrian Journal of Statistics if judged consistently with these general aims. All papers will be refereed. Special topics sections will appear from time to time. Each section will have as a theme a specialized area of statistical application, theory, or methodology. Technical notes or problems for considerations under Shorter Communications are also invited. A special section is reserved for book reviews.