On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process

Kestutis Kubilius; Dmitrij Melichov

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arXiv · 1607.03166

On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process

Kestutis Kubilius·Dmitrij Melichov

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Abstract

We study some estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process and prove that they are strongly consistent and most of them are asymptotically normal. Moreover, we compare the asymptotic behavior of these estimators with the aid of computer simulations.

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Kestutis Kubilius, Dmitrij Melichov. 2016-07-11. On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process. https://arxiv.org/abs/1607.03166

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