On a computable Skorokhod's integral‐based estimator of the drift parameter in fractional SDE

Author:

Marie Nicolas1ORCID

Affiliation:

1. Laboratoire Modal'X Université Paris Nanterre Nanterre France

Abstract

AbstractThis paper deals with a Skorokhod's integral‐based least squares‐ (LS) type estimator of the drift parameter computed from multiple (possibly dependent) copies of the solution of a stochastic differential equation (SDE) driven by a fractional Brownian motion of Hurst index . On the one hand, some convergence results are established on our LS estimator when . On the other hand, when , Skorokhod's integral‐based estimators cannot be computed from data, but in this paper some convergence results are established on a computable approximation of our LS estimator.

Publisher

Wiley

Reference32 articles.

1. Stochastic Calculus for Fractional Brownian Motion and Applications

2. Nonparametric drift estimation for I.I.D. paths of stochastic differential equations;Comte F.;The Annals of Statistics,2020

3. Nonparametric estimation in fractional SDE;Comte F.;Statistical Inference for Stochastic Processes,2019

4. Nonparametric estimation for I.I.D. paths of fractional SDE;Comte F.;Statistical Inference for Stochastic Processes,2021

5. Nonparametric drift estimation from diffusions with correlated Brownian motions;Comte F.;Journal of Multivariate Analysis,2023

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