Parameter Estimation for Fractional Diffusion Process with Discrete Observations
Joint Authors
Source
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-01-08
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
This paper deals with the problem of estimating the parameters for fractional diffusion process from discrete observations when the Hurst parameter H is unknown.
With combination of several methods, such as the Donsker type approximate formula of fractional Brownian motion, quadratic variation method, and the maximum likelihood approach, we give the parameter estimations of the Hurst index, diffusion coefficients, and volatility and then prove their strong consistency.
Finally, an extension for generalized fractional diffusion process and further work are briefly discussed.
American Psychological Association (APA)
Su, Yu-xia& Wang, Yutian. 2019. Parameter Estimation for Fractional Diffusion Process with Discrete Observations. Journal of Function Spaces،Vol. 2019, no. 2019, pp.1-6.
https://search.emarefa.net/detail/BIM-1174948
Modern Language Association (MLA)
Su, Yu-xia& Wang, Yutian. Parameter Estimation for Fractional Diffusion Process with Discrete Observations. Journal of Function Spaces No. 2019 (2019), pp.1-6.
https://search.emarefa.net/detail/BIM-1174948
American Medical Association (AMA)
Su, Yu-xia& Wang, Yutian. Parameter Estimation for Fractional Diffusion Process with Discrete Observations. Journal of Function Spaces. 2019. Vol. 2019, no. 2019, pp.1-6.
https://search.emarefa.net/detail/BIM-1174948
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1174948