{
  "id": "1104.3966",
  "version": "v1",
  "published": "2011-04-20T08:35:16.000Z",
  "updated": "2011-04-20T08:35:16.000Z",
  "title": "On inference for fractional differential equations",
  "authors": [
    "Alexandra Chronopoulou",
    "Samy Tindel"
  ],
  "comment": "33 pages, 2 figures",
  "journal": "Stat. Inference Stoch. Process. 16, 1 (2013) 29-61",
  "categories": [
    "math.PR",
    "math.ST",
    "stat.TH"
  ],
  "abstract": "Based on Malliavin calculus tools and approximation results, we show how to compute a maximum likelihood type estimator for a rather general differential equation driven by a fractional Brownian motion with Hurst parameter H>1/2. Rates of convergence for the approximation task are provided, and numerical experiments show that our procedure leads to good results in terms of estimation.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2011-04-20T08:35:16.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "fractional differential equations",
      "general differential equation driven",
      "maximum likelihood type estimator",
      "fractional brownian motion",
      "malliavin calculus tools"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 33,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2011arXiv1104.3966C"
    }
  }
}