The rate of convergence of the Hurst index estimate for a stochastic differential equation
We consider an estimator of the Hurst parameter of stochastic differential equation with respect to a fractional Brownian motion and establish the rate of convergence of this estimator to the true value of H when the diameter of partition of observation interval tends to zero.
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2017-03-01
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| Series: | Nonlinear Analysis |
| Subjects: | |
| Online Access: | http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/13405 |