EXACT MAXIMUM LIKELIHOOD ESTIMATOR FOR DRIFT FRACTIONAL BROWNIAN MOTION AT DISCRETE OBSERVATION

• 作 者: 胡耀忠 Nualart David 肖炜麟 张卫国
• 机 构: DepartmentofMathematics,SchoolofBusinessandAdministration
• 出 处: 数学物理学报：B辑英文版
• 发表日期: 2011年5期
• 关键词: 极大似然估计 分数布朗运动 离散 漂移 观测 最大似然估计 强一致性 BERRY maximum likelihood estimator fractional
• 基金项目: supported by the National Science Foundations （DMS0504783, DMS0604207）, National Science Fund for Distinguished Young Scholars of China （70825005）

This paper deals with the problems of consistency and strong consistency of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. Both the central limit theorem and the Berr