The rate of convergence of Hurst index estimate for the stochastic differential equation

We consider a stochastic differential equation involving a pathwise integral with respect to fractional Brownian motion. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of observed values of the solution. The rate of convergence of these estimates to the true value of a parameter is established when the diameter of interval partition tends to zero.

MoreLess

Year of publication:	2012
Authors:	Kubilius, K. ; Mishura, Y.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 11, p. 3718-3739
Publisher:	Elsevier
Subject:	Fractional Brownian motion \| Stochastic differential equation \| First- and second-order quadratic variations \| Estimates of Hurst parameter \| Rate of convergence

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010580876