Maximum Likelihood Estimation of the Parameters of Fractional Brownian Motions
نویسنده
چکیده
This paper provides onvergen e analysis for maximum likelihood estimation of the parameters des ribing a parti ular multi-s ale pro ess known as fra tional Brownian motion. We on entrate on s hemes that `pre-whiten' the available noise orrupted data via the Fast Wavelet Transform and show that su h s hemes are strongly onsistent and asymptoti ally eÆ ient. We also analyse the rate of onvergen e of the maximum likelihood estimates and show that this rate depends on the memory of the fra tional pro ess.
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