PIMS/AMI Seminar: Professor Yu Mishura, Kiev National University

  • Date: 07/24/2012
  • Time: 14:00
Professor Yu Mishura, Kiev National University

University of Alberta


“On drift parameter estimation in the models with long-range dependence”


Abstract We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard estimates and three estimates for the sequential estimation.  Model strong consistency and some other properties are proved. The linear model and Ornstein-Uhlenbeck model are studied in detail. As an auxiliary result, an asymptotic behavior of the fractional derivative of the fractional Brownian motion is established. 


2:00 p.m.CAB 365


Refreshments will be served in CAB 649 at 1:30 p.m.

Other Information: