Kostiantyn Ralchenko: Maximum likelihood estimation for drift parameter of Gaussian process.

Kostiantyn Ralchenko (Taras Shevchenko National University of Kyiv) gives a lecture with the title: Maximum likelihood estimation for drift parameter of Gaussian process.

Abstract

We investigate a regression model with an unknown drift parameter, where the noise is a centered Gaussian process. We construct the maximum likelihood estimators of the drift parameter based on discrete and continuous observations of the process and prove their strong consistency. As examples, models with fractional Brownian motion, mixed fractional Brownian motion, sub-fractional Brownian motion and two independent fractional Brownian motions are considered.

Published May 24, 2018 1:42 PM - Last modified May 24, 2018 1:42 PM