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Statistical Inference with Fractional Brownian Motion

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Abstract

We give a test between two complex hypothesis; namely we test whether a fractional Brownian motion (fBm) has a linear trend against a certain non-linear trend. We study some related questions, like goodness-of-fit test and volatility estimation in these models.

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Authors and Affiliations

  1. Department of Mathematics, Kiev University, Volodimirska Street 64, 01033, Kiev, Ukraine

    Alexander Kukush & Yulia Mishura

  2. Department of Mathematics, University of Helsinki, P.O. Box 4, FIN-00014, Finland

    Esko Valkeila

Authors
  1. Alexander Kukush
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  2. Yulia Mishura
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  3. Esko Valkeila
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Kukush, A., Mishura, Y. & Valkeila, E. Statistical Inference with Fractional Brownian Motion. Statistical Inference for Stochastic Processes 8, 71–93 (2005). https://doi.org/10.1023/B:SISP.0000049124.59173.79

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  • DOI: https://doi.org/10.1023/B:SISP.0000049124.59173.79

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