arXiv:1111.1816 Abstract | arXiv Analytics

arXiv:1111.1816 [math.PR]Abstract References Reviews Resources

A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise

Published 2011-11-08Version 1

We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter H>1/2. The estimator is based on discrete time observations of the stochastic differential equation, and using tools from ergodic theory and stochastic analysis we derive its strong consistency.

Comments: 15 pages

Categories: math.PR, math.ST, stat.TH

Keywords: stochastic differential equation, additive fractional noise, parameter estimation, square-type procedure, discrete time observations

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