The Library
Parameter estimation for rough differential equations
Tools
Papavasiliou, Anastasia and Ladroue, Christophe (2011) Parameter estimation for rough differential equations. Annals of statistics, Vol.39 (No.4). pp. 2047-2073. doi:10.1214/11-AOS893 ISSN 0090-5364.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1214/11-AOS893
Abstract
We construct the "expected signature matching" estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estimate parameters of a diffusion and a fractional diffusions, that is, a differential equation driven by fractional Brownian motion.
Item Type: | Journal Article | ||||
---|---|---|---|---|---|
Subjects: | H Social Sciences > HA Statistics Q Science > QA Mathematics |
||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Annals of statistics | ||||
Publisher: | Inst Mathematical Statistics | ||||
ISSN: | 0090-5364 | ||||
Official Date: | August 2011 | ||||
Dates: |
|
||||
Volume: | Vol.39 | ||||
Number: | No.4 | ||||
Page Range: | pp. 2047-2073 | ||||
DOI: | 10.1214/11-AOS893 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Funder: | Engineering and Physical Sciences Research Council (EPSRC), Seventh Framework Programme (European Commission) (FP7/2007-2013) | ||||
Grant number: | EP/H019588/1 (EPSRC), FP7-REGPOT-2009-1 (FP7) |
Data sourced from Thomson Reuters' Web of Knowledge
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |