EXACT MAXIMUM LIKELIHOOD ESTIMATOR FOR DRIFT FRACTIONAL BROWNIAN MOTION AT DISCRETE OBSERVATION

作     者：胡耀忠 Nualart David 肖炜麟 张卫国 

作者机构：Department of Mathematics University of Kansas 405 Snow Hall Lawrence Kansas 66045-2142 USA School of Business and Administration South China University of Technology 

出 版 物：《Acta Mathematica Scientia》 (数学物理学报（B辑英文版）)

年 卷 期：2011年第31卷第5期

页      面：1851-1859页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the National Science Foundations (DMS0504783 DMS0604207) National Science Fund for Distinguished Young Scholars of China (70825005) 

主　　题：maximum likelihood estimator fractional Brownian motions strong consistency central limit theorem Berry-Ess′een bounds Stein’s method Malliavin calculus 

摘      要：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-Ess′een bounds for these estimators are obtained by using the Stein’s method via Malliavin calculus.