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Parameter Estimation in Rough Bessel Model
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DOI：10.3390/fractalfract7070508.png)
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Abstract
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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.
Keywords:
fractional Brownian motion
Bessel process
parameter estimation
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3.3
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4.3K
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