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Least Squares Estimation for α -Fractional Bridge with Discrete Observations
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-01-23
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
We consider a fractional bridge defined as d X t = - α (X t / ( T - t )) d t + d B t H , 0 ≤ t < T , where B H is a fractional Brownian motion of Hurst parameter H > 1 / 2 and parameter α > 0 is unknown.
We are interested in the problem of estimating the unknown parameter α > 0 .
Assume that the process is observed at discrete time t i = i Δ n , i = 0 , … , n , and T n = n Δ n denotes the length of the “observation window.” We construct a least squares estimator α ^ n of α which is consistent; namely, α ^ n converges to α in probability as n → ∞ .
American Psychological Association (APA)
Shen, Guangjun& Yin, Xiuwei. 2014. Least Squares Estimation for α -Fractional Bridge with Discrete Observations. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-1033979
Modern Language Association (MLA)
Shen, Guangjun& Yin, Xiuwei. Least Squares Estimation for α -Fractional Bridge with Discrete Observations. Abstract and Applied Analysis No. 2014 (2014), pp.1-8.
https://search.emarefa.net/detail/BIM-1033979
American Medical Association (AMA)
Shen, Guangjun& Yin, Xiuwei. Least Squares Estimation for α -Fractional Bridge with Discrete Observations. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-1033979
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1033979