Parameter estimation for alpha-fractional bridges

Details Parameter estimation for alpha-fractional bridges Parameter estimation for alpha-fractional bridges

2011-01-30

arxiv.org/abs/1101.5790v2

Mathematics

Probability

21 pages. To appear in the Festschrift in Honor of David Nualart, a volume to be published by Springer in the Proceedings in M

Scientific paper

Let alpha,T>0. We study the asymptotic properties of a least squares estimator for the parameter alpha of a fractional bridge defined as dX_t=-alpha*X_t/(T-t)dt+dB_t, with t in [0,T) and where B is a fractional Brownian motion of Hurst index H>1/2. Depending on the value of alpha, we prove that we may have strong consistency or not as t tends to T. When we have consistency, we obtain the rate of this convergence as well. Also, we compare our results to the (known) case where B is replaced by a standard Brownian motion W.

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