{"title":"分数阶布朗扩散模型漂移参数估计的一致性及最大似然法估计赫斯特参数","authors":"Ba Demba Bocar, T. Moussa","doi":"10.37418/jcsam.4.1.1","DOIUrl":null,"url":null,"abstract":"In this paper, we study the problem of estimating the unknow parameters in a long memory process based on the maximum likelihood method. We consider again a diffusion model involving fractional Brownian motion. Our goal is to study the consistency of the drift parameter estimates depending on the form of the model.","PeriodicalId":361024,"journal":{"name":"Journal of Computer Science and Applied Mathematics","volume":"228 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"CONSISTENCY OF THE DRIFT PARAMETERS ESTIMATES IN THE FRACTIONAL BROWNIAN DIFFUSION MODEL AND ESTIMATION OF THE HURST PARAMETER BY MAXIMUM LIKELIHOOD METHOD\",\"authors\":\"Ba Demba Bocar, T. Moussa\",\"doi\":\"10.37418/jcsam.4.1.1\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we study the problem of estimating the unknow parameters in a long memory process based on the maximum likelihood method. We consider again a diffusion model involving fractional Brownian motion. Our goal is to study the consistency of the drift parameter estimates depending on the form of the model.\",\"PeriodicalId\":361024,\"journal\":{\"name\":\"Journal of Computer Science and Applied Mathematics\",\"volume\":\"228 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Computer Science and Applied Mathematics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.37418/jcsam.4.1.1\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Computer Science and Applied Mathematics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.37418/jcsam.4.1.1","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
CONSISTENCY OF THE DRIFT PARAMETERS ESTIMATES IN THE FRACTIONAL BROWNIAN DIFFUSION MODEL AND ESTIMATION OF THE HURST PARAMETER BY MAXIMUM LIKELIHOOD METHOD
In this paper, we study the problem of estimating the unknow parameters in a long memory process based on the maximum likelihood method. We consider again a diffusion model involving fractional Brownian motion. Our goal is to study the consistency of the drift parameter estimates depending on the form of the model.
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