{
  "id": "1111.1816",
  "version": "v1",
  "published": "2011-11-08T07:50:40.000Z",
  "updated": "2011-11-08T07:50:40.000Z",
  "title": "A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise",
  "authors": [
    "Andreas Neuenkirch",
    "Samy Tindel"
  ],
  "comment": "15 pages",
  "categories": [
    "math.PR",
    "math.ST",
    "stat.TH"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2011-11-08T07:50:40.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "stochastic differential equation",
      "additive fractional noise",
      "parameter estimation",
      "square-type procedure",
      "discrete time observations"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 15,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2011arXiv1111.1816N"
    }
  }
}