A computable fixed-point drift estimator for multiplicative fractional-noise SDEs is proved to be well-defined, asymptotically normal with a confidence interval, and to achieve a 1/N mean-squared-error rate for every Hurst parameter H in (1/3,1).
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.ST 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Fixed-Point Estimation of the Drift Parameter in Stochastic Differential Equations Driven by Rough Multiplicative Fractional Noise
A computable fixed-point drift estimator for multiplicative fractional-noise SDEs is proved to be well-defined, asymptotically normal with a confidence interval, and to achieve a 1/N mean-squared-error rate for every Hurst parameter H in (1/3,1).