Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion
We study the asymptotic properties of minimum distance estimator of drift parameter for a class of nonlinear scalar stochastic differential equations driven by mixed fractional Brownian motion. The consistency and limit distribution of this estimator are established as the diffusion coefficient tend...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/942307 |
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| Summary: | We study the asymptotic properties of minimum distance estimator of drift parameter for a class of nonlinear scalar stochastic differential equations driven by mixed fractional Brownian motion. The consistency and limit distribution
of this estimator are established as the diffusion coefficient tends to zero under some regularity conditions. |
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| ISSN: | 1085-3375 1687-0409 |