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Your search keyword '"Bertin, Karine"' showing total 3 results
Start Over Author "Bertin, Karine" Topic fractional brownian motion
3 results on '"Bertin, Karine"'

1. Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion.

Author

Bertin, Karine, Klutchnikoff, Nicolas, Panloup, Fabien, and Varvenne, Maylis

Abstract

We build and study a data-driven procedure for the estimation of the stationary density f of an additive fractional SDE. To this end, we also prove some new concentrations bounds for discrete observations of such dynamics in stationary regime. [ABSTRACT FROM AUTHOR]

Published
2020
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2. Maximum-likelihood estimators and random walks in long memory models.

Author

Bertin, Karine, Torres, Soledad, and Tudor, CiprianA.

Subjects
*MAXIMUM likelihood statistics, *RANDOM walks, *MATHEMATICAL models, *GAUSSIAN processes, *COMPUTER simulation, *PARAMETER estimation, *APPROXIMATION theory
Abstract

We consider statistical models driven by Gaussian and non-Gaussian self-similar processes with long memory and we construct maximum-likelihood estimators for the drift parameter. Our approach is based on the non-Gaussian case on the approximation by random walks of the driving noise. We study the asymptotic behaviour of the estimators and we give some numerical simulations to illustrate our results. [ABSTRACT FROM AUTHOR]

Published
2011
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3. Drift parameter estimation in fractional diffusions driven by perturbed random walks

Author

Bertin, Karine, Torres, Soledad, and Tudor, Ciprian A.

Subjects
*RANDOM walks, *PERTURBATION theory, *LINEAR statistical models, *WIENER processes, *APPROXIMATION theory, *STOCHASTIC systems, *FRACTIONAL integrals, *PARAMETER estimation
Abstract

Abstract: We estimate the drift parameter in a simple linear model driven by fractional Brownian motion. We propose maximum likelihood estimators (MLE) for the drift parameter construct by using a random walk approximation of the fractional Brownian motion. [ABSTRACT FROM AUTHOR]

Published
2011
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