| Title |
The rate of convergence of the Hurst index estimate for a stochastic differential equation |
| Authors |
Kubilius, Kęstutis ; Skorniakov, Viktor ; Ralchenko, Kostiantyn |
| DOI |
10.15388/NA.2017.2.9 |
| Full Text |
|
| Is Part of |
Nonlinear analysis : modelling and control.. Vilnius : Vilnius University Institute of Mathematics and Informatics. 2017, Vol. 22, No. 2, p. 273-284.. ISSN 1392-5113 |
| Keywords [eng] |
fractional Brownian motion ; stochastic differential equation ; second-order quadratic variations ; estimates of Hurst parameter ; rate of convergence |
| Abstract [eng] |
We consider an estimator of the Hurst parameter of stochastic differential equation with respect to a fractional Brownian motion and establish the rate of convergence of this estimator to the true value of H when the diameter of partition of observation interval tends to zero. |
| Published |
Vilnius : Vilnius University Institute of Mathematics and Informatics |
| Type |
Journal article |
| Language |
English |
| Publication date |
2017 |
| CC license |
|
