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Parameter Estimation in Rough Bessel Model
- Publication Year :
- 2023
-
Abstract
- In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with H<1/2. As an auxiliary result, we also prove the continuity of the fractional Bessel process. The results are illustrated with simulations.
Details
- Database :
- OAIster
- Notes :
- English
- Publication Type :
- Electronic Resource
- Accession number :
- edsoai.on1400059323
- Document Type :
- Electronic Resource
- Full Text :
- https://doi.org/10.3390.fractalfract7070508