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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.
Cited literature [11 references]
https://hal-paris1.archives-ouvertes.fr/hal-00382581
Contributor : Khalifa Es-Sebaiy Connect 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
Contributor : Khalifa Es-Sebaiy Connect 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
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