On inference for fractional differential equations - Archive ouverte HAL
Article Dans Une Revue Statistical Inference for Stochastic Processes Année : 2013

On inference for fractional differential equations

Résumé

Based on Malliavin calculus tools and approximation results, we show how to compute a maximum likelihood type estimator for a rather general differential equation driven by a fractional Brownian motion with Hurst parameter H>1/2. Rates of convergence for the approximation task are provided, and numerical experiments show that our procedure leads to good results in terms of estimation.
Fichier principal
Vignette du fichier
estim-fbm11-hal.pdf (372.04 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00587087 , version 1 (19-04-2011)

Identifiants

Citer

Alexandra Chronopoulou, Samy Tindel. On inference for fractional differential equations. Statistical Inference for Stochastic Processes, 2013, 16 (1), pp.29-61. ⟨10.1007/s11203-013-9076-z⟩. ⟨hal-00587087⟩
297 Consultations
236 Téléchargements

Altmetric

Partager

More