Properties of maximum likelihood estimates in diffusion and fractional-brownian models

Theory of Probability and Mathematical Statistics

Volumn 68, Issue , 2004, Pages 139-146

  Rudomino Dusyats’ka, Nadiya ^a  

^a TARAS SHEVCHENKO NATIONAL UNIVERSITY OF KYIV   (Ukraine)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85009726771     PISSN: 00949000     EISSN: 15477363     Source Type: Journal    
DOI: 10.1090/S0094-9000-04-00600-3     Document Type: Article

References (6)

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2. Yu. Mishura and N. Rudomino-Dusyatska, Consistency of drift parameter estimates in fractional Brownian diffusion models, Theory Stoch. Processes 7(23) (2001), no. 3–4, 103–112.
3. A. Kukush, Yu. Mishura, and E. Valkeila, Statistical Inference with Fractional Brownian Motion, Preprint, Turku University, 2001.
4. L. Decreusefond and A. S. Üstünel, Stochastic analysis on fractional Brownian motion, Potential Analysis 10 (1998), 177–214. MR 2000b:60133
5. I. A. Ibragimov and R. Z. Khas’minskiĭ, Statistical Estimation: Asymptotic Theory, “Nauka”, Moscow, 1979
6. English transl., Springer-Verlag, Berlin–Heidelberg–New York, 1981. MR 81h:62004