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arXiv · 1111.1816

A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise

Andreas Neuenkirch·Samy Tindel
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Abstract

We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter H>1/2. The estimator is based on discrete time observations of the stochastic differential equation, and using tools from ergodic theory and stochastic analysis we derive its strong consistency.

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Andreas Neuenkirch, Samy Tindel. 2011-11-08. A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise. https://arxiv.org/abs/1111.1816

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