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arXiv · 0905.1419

Estimation of the drift of fractional Brownian motion

Es-Sebaiy Khalifa·Idir Ouassou·Youssef Ouknine
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Abstract

We consider the problem of efficient estimation for the drift of fractional Brownian motion $B^H:=(B^H_t)_{t\in[0,T]}$ with hurst parameter $H$ less than 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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Es-Sebaiy Khalifa, Idir Ouassou, Youssef Ouknine. 2009-05-09. Estimation of the drift of fractional Brownian motion. https://arxiv.org/abs/0905.1419

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