Translator Disclaimer
August 2011 Parameter estimation for rough differential equations
Anastasia Papavasiliou, Christophe Ladroue
Ann. Statist. 39(4): 2047-2073 (August 2011). DOI: 10.1214/11-AOS893

Abstract

We construct the “expected signature matching” estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estimate parameters of a diffusion and a fractional diffusions, that is, a differential equation driven by fractional Brownian motion.

Citation

Download Citation

Anastasia Papavasiliou. Christophe Ladroue. "Parameter estimation for rough differential equations." Ann. Statist. 39 (4) 2047 - 2073, August 2011. https://doi.org/10.1214/11-AOS893

Information

Published: August 2011
First available in Project Euclid: 26 October 2011

zbMATH: 1230.62109
MathSciNet: MR2893861
Digital Object Identifier: 10.1214/11-AOS893

Subjects:
Primary: 62F12, 62F12
Secondary: 62M99

Rights: Copyright © 2011 Institute of Mathematical Statistics

JOURNAL ARTICLE
27 PAGES


SHARE
Vol.39 • No. 4 • August 2011
Back to Top