Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions

Abstract

The purpose of the article is twofold. Firstly, we review some recent results on the maximum likelihood estimation in the regression model of the form $X_t=\theta G(t)+B_t$, where $B$ is a Gaussian process, $G(t)$ is a known function, and $\theta$ is an unknown drift parameter. The estimation techniques for the cases of discrete-time and continuous-time observations are presented. As examples, models with fractional Brownian motion, mixed fractional Brownian motion, and sub-fractional Brownian motion are considered. Secondly, we study in detail the model with two independent fractional Brownian motions and apply the general results mentioned above to this model.

arXiv comment22 pages

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