Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152601 | Statistics & Probability Letters | 2011 | 7 Pages |
Abstract
We estimate the drift parameter in a simple linear model driven by fractional Brownian motion. We propose maximum likelihood estimators (MLE) for the drift parameter construct by using a random walk approximation of the fractional Brownian motion.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Karine Bertin, Soledad Torres, Ciprian A. Tudor,