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arXiv · 1501.06850

Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift

Kestutis Kubilius·Viktor Skorniakov·Dmitrij Melichov
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Abstract

Strongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are proposed. The estimators are based on discrete observations of the underlying processes.

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Kestutis Kubilius, Viktor Skorniakov, Dmitrij Melichov. 2015-05-16. Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift. https://arxiv.org/abs/1501.06850

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