Parameter Estimation in Rough Bessel Model
نویسندگان
چکیده
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, also prove continuity process. The results are illustrated simulations.
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ژورنال
عنوان ژورنال: Fractal and fractional
سال: 2023
ISSN: ['2504-3110']
DOI: https://doi.org/10.3390/fractalfract7070508