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Parameter Estimation in Rough Bessel Model
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Taras Shevchenko Natl Univ Kyiv, Dept Probabil Stat & Actuarial Math, UA-03127 Kiev, Ukraine.ORCID iD: 0000-0002-6877-1800
Univ Oslo, Dept Math, N-0851 Oslo, Norway..
2023 (English)In: FRACTAL AND FRACTIONAL, ISSN 2504-3110, Vol. 7, no 7, article id 508Article in journal (Refereed) Published
Abstract [en]

In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with H<1/2. As an auxiliary result, we also prove the continuity of the fractional Bessel process. The results are illustrated with simulations.

Place, publisher, year, edition, pages
MDPI , 2023. Vol. 7, no 7, article id 508
Keywords [en]
fractional Brownian motion, Bessel process, parameter estimation
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:mdh:diva-63954DOI: 10.3390/fractalfract7070508ISI: 001037316700001Scopus ID: 2-s2.0-85166026442OAI: oai:DiVA.org:mdh-63954DiVA, id: diva2:1788246
Available from: 2023-08-16 Created: 2023-08-16 Last updated: 2023-08-23Bibliographically approved

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Mishura, Yuliiya

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