| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153547 | Statistics & Probability Letters | 2009 | 7 Pages |
Abstract
We consider the problem of efficient estimation for the drift of fractional Brownian motion BH:=(BtH)t∈[0,T] with hurst parameter HH less than 12. We also construct superefficient James–Stein type estimators which dominate, under the usual quadratic risk, the natural maximum likelihood estimator.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Khalifa Es-Sebaiy, Idir Ouassou, Youssef Ouknine,