Abstract
We consider a drift parameter estimation problem when the state process is a reflected fractional Brownian motion (RFBM) with a nonzero drift parameter and the observation is the associated local time process. The RFBM process arises as the key approximating process for queueing systems with long-range dependent and self-similar input processes, where the drift parameter carries the physical meaning of the surplus service rate and plays a central role in the heavy-traffic approximation theory for queueing systems. We study a statistical estimator based on the cumulative local time process and establish its strong consistency and asymptotic normality.
Citation
Yaozhong Hu. Chihoon Lee. "Drift parameter estimation for a reflected fractional Brownian motion based on its local time." J. Appl. Probab. 50 (2) 592 - 597, June 2013. https://doi.org/10.1239/jap/1371648963
Information