TY - JOUR
T1 - On inference for fractional differential equations
AU - Chronopoulou, Alexandra
AU - Tindel, Samy
N1 - Funding Information:
Acknowledgments Samy Tindel is partially supported by the “Agence nationale de la recherche” (ANR) grant “Explorations des Chemins Rugeux” (ECRU).
PY - 2013/4
Y1 - 2013/4
N2 - 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.
AB - 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.
KW - Fractional brownian motion
KW - Inference for stochastic processes
KW - Malliavin calculus
KW - Stochastic differential equations
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U2 - 10.1007/s11203-013-9076-z
DO - 10.1007/s11203-013-9076-z
M3 - Article
AN - SCOPUS:84874944474
SN - 1387-0874
VL - 16
SP - 29
EP - 61
JO - Statistical Inference for Stochastic Processes
JF - Statistical Inference for Stochastic Processes
IS - 1
ER -