Parameter Estimation in Fractional Diffusion Models

1. Description and Properties of the Basic Stochastic Models
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

2. The Hurst Index Estimators for a Fractional Brownian Motion
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

3. Estimation of the Hurst Index from the Solution of a Stochastic Differential Equation
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

4. Parameter Estimation in the Mixed Models via Power Variations
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

5. Drift Parameter Estimation in Diffusion and Fractional Diffusion Models
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

6. The Extended Orey Index for Gaussian Processes
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

Avainsanat: Mathematics, Probability Theory and Stochastic Processes, Statistical Theory and Methods