Es-Sebaiy, Khalifa; Ouassou, Idir; Ouknine, Youssef - In: Statistics & Probability Letters 79 (2009) 14, pp. 1647-1653
We consider the problem of efficient estimation for the drift of fractional Brownian motion with hurst parameter H less than . We also construct superefficient James-Stein type estimators which dominate, under the usual quadratic risk, the natural maximum likelihood estimator.