Estimation of the drift of fractional Brownian motion

Khalifa Es-Sebaiy; Idir Ouassou; Youssef Ouknine

hal-00382581, version 1

Estimation of the drift of fractional Brownian motion

Khalifa Es-Sebaiy ( Author to contact preferably ) ^1, 2, 3, Idir Ouassou () ¹, Youssef Ouknine () ¹

Statistics and Probability Letters 79, 14 (2009) 1647-1653

Abstract: We consider the problem of efficient estimation for the drift of fractional Brownian motion $B^H:=\left(B^H_t\right)_{ t\in[0,T]}$ with hurst parameter H less than \frac{1}{2}. We also construct superefficient James-Stein type estimators which dominate, under the usual quadratic risk, the natural maximum likelihood estimator.

1: Cadi Ayyad University
Cadi Ayyad University
2: Statistique Appliquée et MOdélisation Stochastique (SAMOS)
Université Paris I - Panthéon-Sorbonne
3: Centre d'économie de la Sorbonne (CES)
CNRS : UMR8174 – Université Paris I - Panthéon-Sorbonne

hal-00382581, version 1
http://hal-paris1.archives-ouvertes.fr/hal-00382581
oai:hal-paris1.archives-ouvertes.fr:hal-00382581
From: Khalifa Es-Sebaiy <>
Submitted on: Friday, 8 May 2009 23:02:24
Updated on: Thursday, 18 February 2010 12:10:53

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arXiv: 0905.1419

DOI: 10.1016/j.spl.2009.04.004

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