Open Access
2020 A general drift estimation procedure for stochastic differential equations with additive fractional noise
Fabien Panloup, Samy Tindel, Maylis Varvenne
Electron. J. Statist. 14(1): 1075-1136 (2020). DOI: 10.1214/20-EJS1685
Abstract

In this paper we consider the drift estimation problem for a general differential equation driven by an additive multidimensional fractional Brownian motion, under ergodic assumptions on the drift coefficient. Our estimation procedure is based on the identification of the invariant measure, and we provide consistency results as well as some information about the convergence rate. We also give some examples of coefficients for which the identifiability assumption for the invariant measure is satisfied.

Fabien Panloup, Samy Tindel, and Maylis Varvenne "A general drift estimation procedure for stochastic differential equations with additive fractional noise," Electronic Journal of Statistics 14(1), 1075-1136, (2020). https://doi.org/10.1214/20-EJS1685
Received: 1 March 2019; Published: 2020
Vol.14 • No. 1 • 2020
Back to Top