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Least Squares Estimation for -Fractional Bridge with Discrete Observations

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  • Guangjun Shen
  • Xiuwei Yin

Abstract

We consider a fractional bridge defined as , where is a fractional Brownian motion of Hurst parameter and parameter is unknown. We are interested in the problem of estimating the unknown parameter . Assume that the process is observed at discrete time , and denotes the length of the “observation window.” We construct a least squares estimator of which is consistent; namely, converges to in probability as .

Suggested Citation

  • Guangjun Shen & Xiuwei Yin, 2014. "Least Squares Estimation for -Fractional Bridge with Discrete Observations," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-8, January.
    • Handle: RePEc:hin:jnlaaa:748376
    DOI: 10.1155/2014/748376
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