Asymptotic Normality of Parameter Estimators for~Mixed Fractional Brownian Motion with Trend
DOI:
https://doi.org/10.17713/ajs.v52iSI.1770Abstract
We investigate the mixed fractional Brownian motion of the form Xt = θt+σWt +κBtH , driven by a standard Brownian motion W and a fractional Brownian motion B H with Hurst parameter H. We consider strongly consistent estimators of unknown model parameters (θ, H, σ, κ) based on the equidistant observations of a trajectory. Joint asymptotic normality of these estimators is proved for H ∈ (0, 12 ).
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Copyright (c) 2023 Kostiantyn Ralchenko, Mykyta Yakovliev
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