Estimation of the drift of fractional Brownian motion

Details Estimation of the drift of fractional Brownian motion Estimation of the drift of fractional Brownian motion

2009-05-09

arxiv.org/abs/0905.1419v1

Statistics & Probability Letters (2009) 8

Mathematics

Probability

Scientific paper

We consider the problem of efficient estimation for the drift of fractional
Brownian motion $B^H:=(B^H_t)_{t\in[0,T]}$ with hurst parameter $H$ less than
1/2. We also construct superefficient James-Stein type estimators which
dominate, under the usual quadratic risk, the natural maximum likelihood
estimator.

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