Abstract
In this paper, we investigate the $L^{2}$-consistency and the strong consistency of the maximum likelihood estimators (MLE) of the mean and variance of the sub-fractional Brownian motion with drift at discrete observation. By combining the Stein’s method with Malliavin calculus, we obtain the central limit theorem and the Berry–Esséen bounds for these estimators.
Citation
Nenghui Kuang. Bingquan Liu. "Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation." Braz. J. Probab. Stat. 29 (4) 778 - 789, November 2015. https://doi.org/10.1214/14-BJPS246
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