Fourth Edition of the International Conference on Research in Applied Mathematics and Computer Science ICRAMCS 2022
 March 24-25-26, 2022
Online and Face-to-Face Conference

ICRAMCS, 4 (2022) | Proceedings ISSN: 2605-7700

Research Communication | Open Access
Volume 2022 | Communication ID 399
Statistical Inference for Models Driven by n-th Order Fractional Brownian Motion
Hicham Chaouch, Hamid El Maaroufy, El Omari Mohamed
Academic Editor: Youssef EL FOUTAYENI
Received
Accepted
Published
January 31, 2022
March 03, 2337
April 15, 2337

Abstract: In this paper, we study a maximum likelihood estimator and least squares estimator of mu and the estimator of sigma obtained by maximum likelihood méthod and p-variation of the model driven by n-fbm observed at discrete time instants. The central limit theorem for the maximum likelihood estimators is obtained by using the Stein method via Malawian calculus. References [1] Emmanuel Perrin, Rachid Harba, Corinne Berzin-Joseph, Ileana Iribarren, and Aline Bonami. nth-order fractional Brownian motion and fractional gaussian noises. IEEE Transactions on Signal Processing, 49(5): (2001) ...