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06/10/2022
Quasi-Likelihood Analysis of Fractional Brownian Motion with Constant Drift under High-Frequency Observations
Consider an estimation of the Hurst parameter H∈(0,1) and the volatility...
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04/07/2022
Asymptotically Efficient Estimation of Ergodic Rough Fractional Ornstein-Uhlenbeck Process under Continuous Observations
We consider the problem of asymptotically efficient estimation of drift ...
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05/13/2019