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Exact maximum likelihood estimator for drift fractional Brownian motion at discrete observation |
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| Authors: | Hu Yaozhong Nualart David Xiao Weilin Zhang Weiguo |
| Affiliation: | aDepartment of Mathematics, University of Kansas, 405 Snow Hall, Lawrence, Kansas 66045-2142, USA;bSchool of Business and Administration, South China University of Technology, Guangzhou 510641, China |
| Abstract: | This paper deals with the problems of consistency and strong consistency of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time instants. Both the central limit theorem and the Berry-Esséen bounds for these estimators are obtained by using the Stein's method via Malliavin calculus. |
| Keywords: | maximum likelihood estimator fractional Brownian motions strong consistency central limit theorem Berry-Essé en bounds Stein's method Malliavin calculus |
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