Least Squares Estimation for α-Fractional Bridge with Discrete Observations
We consider a fractional bridge defined as dXt=-α(Xt/(T-t))dt+dBtH, 0≤t<T, where BH is a fractional Brownian motion of Hurst parameter H>1/2 and parameter α>0 is unknown. We are interested in the problem of estimating the unknown parameter α>0. Assume that the process is observed at dis...
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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/10.1155/2014/748376 |
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