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Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion |
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| Authors: | B. L. S. Prakasa Rao |
| Affiliation: | CR RAO Advanced Institute of Mathematics, Statistics and Computer Science, Hyderabad, India |
| Abstract: | We investigate the asymptotic properties of instrumental variable estimators of the drift parameter for stochastic processes satisfying linear stochastic differential equations driven by a sub-fractional Brownian motion. |
| Keywords: | Linear stochastic differential equations Sub-fractional Brownian motion Instrumental variable estimation Consistency Asymptotic mixed normality |