A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise

Details A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise

2011-11-08

arxiv.org/abs/1111.1816v1

Mathematics

Probability

15 pages

Scientific paper

We study a least square-type estimator for an unknown parameter in the drift
coefficient of a stochastic differential equation with additive fractional
noise of Hurst parameter H>1/2. The estimator is based on discrete time
observations of the stochastic differential equation, and using tools from
ergodic theory and stochastic analysis we derive its strong consistency.

Affiliated with

Also associated with

No associations

Rating

A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-53147