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
Contributeur : Khalifa Es-Sebaiy
<>
Soumis le : vendredi 8 mai 2009 - 23:02:24
Dernière modification le : mardi 30 janvier 2018 - 17:50:03
Document(s) archivé(s) le : jeudi 10 juin 2010 - 22:57:48
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〉
