文章基本信息

标题：Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
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作者：Nenghui Kuang ; Bingquan Liu
期刊名称：Brazilian Journal of Probability and Statistics
印刷版ISSN：0103-0752
出版年度：2015
卷号：29
期号：4
页码：778-789
DOI：10.1214/14-BJPS246
语种：English
出版社：Brazilian Statistical Association
摘要：In this paper, we investigate the $L^{2}$-consistency and the strong consistency of the maximum likelihood estimators (MLE) of the mean and variance of the sub-fractional Brownian motion with drift at discrete observation. By combining the Stein’s method with Malliavin calculus, we obtain the central limit theorem and the Berry–Esséen bounds for these estimators.