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.
- Fractional brownian motion
- Inference for stochastic processes
- Malliavin calculus
- Stochastic differential equations
ASJC Scopus subject areas
- Statistics and Probability