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Cramer-Rao bounds for fractional Brownian motions

Author

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  • Coeurjolly, Jean-François
  • Istas, Jacques

Abstract

We obtain Cramer-Rao bounds for parameters estimators of fractional Brownian motions. We point out the differences of behavior whether these processes are standard or not. The key-point of this study relies upon a linear algebra result we prove, exhibiting bounds for elements of inverse of localized matrices.

Suggested Citation

  • Coeurjolly, Jean-François & Istas, Jacques, 2001. "Cramer-Rao bounds for fractional Brownian motions," Statistics & Probability Letters, Elsevier, vol. 53(4), pages 435-447, July.
    • Handle: RePEc:eee:stapro:v:53:y:2001:i:4:p:435-447
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    Cited by:

    1. Bibinger, Markus, 2020. "Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 161(C).
    2. Mazur, Stepan & Otryakhin, Dmitry & Podolskij, Mark, 2018. "Estimation of the linear fractional stable motion," Working Papers 2018:3, Örebro University, School of Business.
    3. Mathias Mørck Ljungdahl & Mark Podolskij, 2020. "A minimal contrast estimator for the linear fractional stable motion," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 381-413, July.

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