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arXiv · 0812.3102

Parameter estimation for rough differential equations

Anastasia Papavasiliou·Christophe Ladroue
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Abstract

We construct the "expected signature matching" estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estimate parameters of a diffusion and a fractional diffusions, that is, a differential equation driven by fractional Brownian motion.

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Anastasia Papavasiliou, Christophe Ladroue. 2011-12-15. Parameter estimation for rough differential equations. https://doi.org/10.1214/11-aos893

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