Parameter Estimation in Rough Bessel Model

dc.date.accessioned	2024-03-07T21:09:44Z
dc.date.available	2024-03-07T21:09:44Z
dc.date.created	2023-09-26T11:02:45Z
dc.date.issued	2023
dc.identifier.citation	Mishura, Yuliya Yurchenko-Tytarenko, Anton . Parameter Estimation in Rough Bessel Model. Fractal and Fractional. 2023, 7(7)
dc.identifier.uri	http://hdl.handle.net/10852/109214
dc.description.abstract	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, we also prove the continuity of the fractional Bessel process. The results are illustrated with simulations.
dc.language	EN
dc.rights	Attribution 4.0 International
dc.rights.uri	https://creativecommons.org/licenses/by/4.0/
dc.title	Parameter Estimation in Rough Bessel Model
dc.title.alternative	ENEngelskEnglishParameter Estimation in Rough Bessel Model
dc.type	Journal article
dc.creator.author	Mishura, Yuliya
dc.creator.author	Yurchenko-Tytarenko, Anton
cristin.unitcode	185,15,13,35
cristin.unitname	Risiko og stokastikk
cristin.ispublished	true
cristin.fulltext	original
cristin.qualitycode	1
dc.identifier.cristin	2178921
dc.identifier.bibliographiccitation	info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Fractal and Fractional&rft.volume=7&rft.spage=&rft.date=2023
dc.identifier.jtitle	Fractal and Fractional
dc.identifier.volume	7
dc.identifier.issue	7
dc.identifier.pagecount	0
dc.identifier.doi	https://doi.org/10.3390/fractalfract7070508
dc.type.document	Tidsskriftartikkel
dc.type.peerreviewed	Peer reviewed
dc.source.issn	2504-3110
dc.type.version	PublishedVersion
cristin.articleid	508
dc.relation.project	NFR/274410