Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations
The object of investigation is the mixed fractional Brownian motion of the form ${X_{t}}=\kappa {B_{t}^{{H_{1}}}}+\sigma {B_{t}^{{H_{2}}}}$, driven by two independent fractional Brownian motions ${B_{1}^{H}}$ and ${B_{2}^{H}}$ with Hurst parameters ${H_{1}}\lt {H_{2}}$. Strongly consistent estimator...
| Published in: | Modern Stochastics: Theory and Applications |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
VTeX
2023-12-01
|
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/23-VMSTA234 |