Parametric estimation for linear system of stochastic differential equations driven by fractional Brownian motions with different Hurst indices

Rao, B. L. S.

doi:10.1090/S0094-9000-09-00788-1

Parametric estimation for linear system of stochastic differential equations driven by fractional Brownian motions with different Hurst indices

Author: B. L. S. Prakasa Rao
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 79 (2008).
Journal: Theor. Probability and Math. Statist. 79 (2009), 143-151
MSC (2000): Primary 62M09; Secondary 60G18
DOI: https://doi.org/10.1090/S0094-9000-09-00788-1
Published electronically: December 30, 2009
MathSciNet review: 2494544
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Abstract: We consider the problem of maximum likelihood estimation of the common trend parameter for a linear system of stochastic differential equations driven by two independent fractional Brownian motions possibly with different Hurst indices. Asymptotic properties of the maximum likelihood estimator are discussed.

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