Estimation of the drift of fractional Brownian motion

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dc.creatorKhalifa, Es-Sebaiy
dc.creatorOuassou, Idir
dc.creatorOuknine, Youssef
dc.date2009-05-09
dc.date.accessioned2026-07-07T13:13:33Z
dc.date.available2026-07-07T13:13:33Z
dc.descriptionWe consider the problem of efficient estimation for the drift of fractional Brownian motion $B^H:=(B^H_t)_{t\in[0,T]}$ with hurst parameter $H$ less than 1/2. We also construct superefficient James-Stein type estimators which dominate, under the usual quadratic risk, the natural maximum likelihood estimator.
dc.identifierhttps://arxiv.org/abs/0905.1419
dc.identifierhttp://arxiv.org/abs/0905.1419
dc.identifierStatistics & Probability Letters (2009) 8
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/229922
dc.subjectProbability
dc.subjectStatistics Theory
dc.subject60G15, 62G05, 62B05, 62M09
dc.titleEstimation of the drift of fractional Brownian motion
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