Parameter estimation for rough differential equations

Details Parameter estimation for rough differential equations Parameter estimation for rough differential equations

2008-12-16

arxiv.org/abs/0812.3102v3

Annals of Statistics 2011, Vol. 39, No. 4, 2047-2073

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/11-AOS893 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/11-AOS893

We construct the "expected signature matching" estimator for differential
equations driven by rough paths and we prove its consistency and asymptotic
normality. We use it to estimate parameters of a diffusion and a fractional
diffusions, that is, a differential equation driven by fractional Brownian
motion.

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