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Parameter identification for mixed fractional Brownian motions with the drift parameter

Author

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  • Cai, Chunhao
  • Cheng, Xuwen
  • Xiao, Weilin
  • Wu, Xiang

Abstract

This paper deals with the problem of estimating the unknown parameters in the drift mixed fractional Brownian motion based on discrete-sampled observations. We construct two different estimators for the drift parameter based on the approximation by random walks of the driving noise and prove the consistency of these two estimators. Some numerical simulations are also presented to illustrate the performance of these maximum likelihood estimators. Empirical examples are given to illustrate the potential applications of these proposed estimators.

Suggested Citation

  • Cai, Chunhao & Cheng, Xuwen & Xiao, Weilin & Wu, Xiang, 2019. "Parameter identification for mixed fractional Brownian motions with the drift parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    • Handle: RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119305783
    DOI: 10.1016/j.physa.2019.04.178
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