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Least squares estimator for $$\alpha $$ α -sub-fractional bridges

Author

Listed:
  • Nenghui Kuang

    (Hunan University of Science and Technology)

  • Bingquan Liu

    (Weinan Normal University)

Abstract

Let $$\alpha , T>0$$ α , T > 0 . We investigate the asymptotic properties of a least squares estimator (LSE) for the parameter $$\alpha $$ α of a sub-fractional bridge defined as $$dX_t=-\alpha \frac{X_t}{T-t}dt+dS_t^H, 0\le t

Suggested Citation

  • Nenghui Kuang & Bingquan Liu, 2018. "Least squares estimator for $$\alpha $$ α -sub-fractional bridges," Statistical Papers, Springer, vol. 59(3), pages 893-912, September.
    • Handle: RePEc:spr:stpapr:v:59:y:2018:i:3:d:10.1007_s00362-016-0795-2
    DOI: 10.1007/s00362-016-0795-2
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    References listed on IDEAS

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    1. Tomasz Bojdecki & Luis G. Gorostiza & Anna Talarczyk, 2004. "Sub-fractional Brownian motion and its relation to occupation times," RePAd Working Paper Series lrsp-TRS376, Département des sciences administratives, UQO.
    2. Bojdecki, Tomasz & Gorostiza, Luis G. & Talarczyk, Anna, 2004. "Sub-fractional Brownian motion and its relation to occupation times," Statistics & Probability Letters, Elsevier, vol. 69(4), pages 405-419, October.
    3. Guang Jing Song & Qing Wen Wang, 2014. "On the weighted least-squares, the ordinary least-squares and the best linear unbiased estimators under a restricted growth curve model," Statistical Papers, Springer, vol. 55(2), pages 375-392, May.
    4. Shen, Guangjun & Chen, Chao, 2012. "Stochastic integration with respect to the sub-fractional Brownian motion with H∈(0,12)," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 240-251.
    5. Hui Jiang & Xing Dong, 2015. "Parameter estimation for the non-stationary Ornstein–Uhlenbeck process with linear drift," Statistical Papers, Springer, vol. 56(1), pages 257-268, February.
    6. Yan, Litan & Shen, Guangjun, 2010. "On the collision local time of sub-fractional Brownian motions," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 296-308, March.
    7. Saieed Ateya, 2014. "Maximum likelihood estimation under a finite mixture of generalized exponential distributions based on censored data," Statistical Papers, Springer, vol. 55(2), pages 311-325, May.
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