文章基本信息

标题：A general drift estimation procedure for stochastic differential equations with additive fractional noise
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作者：Fabien Panloup ; Samy Tindel ; Maylis Varvenne 等
期刊名称：Electronic Journal of Statistics
印刷版ISSN：1935-7524
出版年度：2020
卷号：14
期号：1
页码：1075-1136
DOI：10.1214/20-EJS1685
语种：English
出版社：Institute of Mathematical Statistics
摘要：In this paper we consider the drift estimation problem for a general differential equation driven by an additive multidimensional fractional Brownian motion, under ergodic assumptions on the drift coefficient. Our estimation procedure is based on the identification of the invariant measure, and we provide consistency results as well as some information about the convergence rate. We also give some examples of coefficients for which the identifiability assumption for the invariant measure is satisfied.
关键词：fractional Brownian motion; parameter drift estimation; ergodicity