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Estimation of the drift of fractional Brownian motion

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.
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Submitted on : Friday, May 8, 2009 - 11:02:24 PM
Last modification on : Tuesday, January 19, 2021 - 11:08:37 AM
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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⟩



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