Construction of maximum likelihood estimator in the mixed fractional–fractional Brownian motion model with double long-range dependence
We construct an estimator of the unknown drift parameter $\theta \in \mathbb{R}$ in the linear model \[X_{t}=\theta t+\sigma _{1}{B}^{H_{1}}(t)+\sigma _{2}{B}^{H_{2}}(t),\hspace{0.2778em}t\in [0,T],\] where ${B}^{H_{1}}$ and ${B}^{H_{2}}$ are two independent fractional Brownian motions with Hurst in...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
VTeX
2015-07-01
|
| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA28 |