Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk

2013 ◽  
Vol 67 (1) ◽  
pp. 75-91 ◽  
Author(s):  
Nenghui Kuang ◽  
Huantian Xie
Keyword(s):  
Brownian Motion ◽  
Random Walk ◽  
Maximum Likelihood ◽  
Fractional Brownian Motion ◽  
Maximum Likelihood Estimator ◽  
Likelihood Estimator

Large deviations and Berry–Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion

2020 ◽  
Vol 28 (3) ◽  
pp. 183-196
Author(s):  
Kouacou Tanoh ◽  
Modeste N’zi ◽  
Armel Fabrice Yodé
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Maximum Likelihood ◽  
Large Deviations ◽  
Stochastic Differential Equation ◽  
Fractional Brownian Motion ◽  
Maximum Likelihood Estimator ◽  
Bayes Estimator ◽  
Likelihood Estimator

AbstractWe are interested in bounds on the large deviations probability and Berry–Esseen type inequalities for maximum likelihood estimator and Bayes estimator of the parameter appearing linearly in the drift of nonhomogeneous stochastic differential equation driven by fractional Brownian motion.

scholarly journals Maximum likelihood estimator consistency for a ballistic random walk in a parametric random environment

2014 ◽  
Vol 124 (1) ◽  
pp. 268-288 ◽  
Author(s):  
Francis Comets ◽  
Mikael Falconnet ◽  
Oleg Loukianov ◽  
Dasha Loukianova ◽  
Catherine Matias
Keyword(s):  
Random Walk ◽  
Maximum Likelihood ◽  
Maximum Likelihood Estimator ◽  
Random Environment ◽  
Likelihood Estimator
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