scholarly journals Construction of maximum likelihood estimator in the mixed fractional–fractional Brownian motion model with double long-range dependence

2015 ◽  
Vol 2 (2) ◽  
pp. 147-164 ◽  
Author(s):  
Yuliya Mishura ◽  
Ivan Voronov
Keyword(s):  
Brownian Motion ◽  
Maximum Likelihood ◽  
Fractional Brownian Motion ◽  
Maximum Likelihood Estimator ◽  
Long Range ◽  
Long Range Dependence ◽  
Motion Model ◽  
Likelihood Estimator ◽  
Brownian Motion Model

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.

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