PARAMETER ESTIMATION FOR ROUGH DIFFERENTIAL EQUATIONS

• 成果类型: Article
• 署名作者: Papavasiliou, Anastasia; Ladroue, Christophe
• 署名单位: University of Warwick; University of Crete; University of Bristol
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/11-AOS893
• 发表日期: 2011
• 页码: 2047-2073
• 关键词: stochastic calculus; DIFFUSIONS

摘要

We construct the expected signature matching estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estimate parameters of a diffusion and a fractional diffusions, that is, a differential equation driven by fractional Brownian motion.