{
  "id": "0905.1419",
  "version": "v1",
  "published": "2009-05-09T17:55:05.000Z",
  "updated": "2009-05-09T17:55:05.000Z",
  "title": "Estimation of the drift of fractional Brownian motion",
  "authors": [
    "Es-Sebaiy Khalifa",
    "Idir Ouassou",
    "Youssef Ouknine"
  ],
  "journal": "Statistics & Probability Letters (2009) 8",
  "categories": [
    "math.PR",
    "math.ST",
    "stat.TH"
  ],
  "abstract": "We consider the problem of efficient estimation for the drift of fractional Brownian motion $B^H:=(B^H_t)_{t\\in[0,T]}$ with hurst parameter $H$ less than 1/2. We also construct superefficient James-Stein type estimators which dominate, under the usual quadratic risk, the natural maximum likelihood estimator.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2009-05-09T17:55:05.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G15",
      "62G05",
      "62B05",
      "62M09"
    ],
    "keywords": [
      "fractional brownian motion",
      "estimation",
      "construct superefficient james-stein type estimators",
      "natural maximum likelihood estimator",
      "usual quadratic risk"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2009arXiv0905.1419K"
    }
  }
}