Back to Search Start Over

Parameter Estimation in Rough Bessel Model

Authors :
Mishura, Yuliiya
Yurchenko-Tytarenko, Anton
Mishura, Yuliiya
Yurchenko-Tytarenko, Anton
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