Service interruption on Monday 11 July from 12:30 to 13:00: all the sites of the CCSD (HAL, EpiSciences, SciencesConf, AureHAL) will be inaccessible (network hardware connection).
Abstract : We consider the problem of efficient estimation for the drift of fractional Brownian motion $B^H:=\left(B^H_t\right)_{ t\in[0,T]}$ with hurst parameter H less than \frac{1}{2}. We also construct superefficient James-Stein type estimators which dominate, under the usual quadratic risk, the natural maximum likelihood estimator.
https://hal-paris1.archives-ouvertes.fr/hal-00382581 Contributor : Khalifa Es-SebaiyConnect in order to contact the contributor Submitted on : Friday, May 8, 2009 - 11:02:24 PM Last modification on : Friday, April 29, 2022 - 10:12:48 AM Long-term archiving on: : Thursday, June 10, 2010 - 10:57:48 PM
Khalifa Es-Sebaiy, Idir Ouassou, youssef Ouknine. Estimation of the drift of fractional Brownian motion. Statistics and Probability Letters, Elsevier, 2009, 79 (14), pp.1647-1653. ⟨10.1016/j.spl.2009.04.004⟩. ⟨hal-00382581⟩