Drift parameter estimation in fractional diffusions driven by perturbed random walks |
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| Authors: | Karine Bertin Soledad Torres |
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| Institution: | a Departamento de Estadística, CIMFAV Universidad de Valparaíso, Casilla 123-V, 4059 Valparaiso, Chileb Laboratoire Paul Painlevé, Université de Lille 1, F-59655 Villeneuve d’Ascq, France |
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| 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. |
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| Keywords: | 60G18 62M99 |
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