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20172022
most citedLAN property for stochastic differential equations driven by fractional Brownian motion of Hurst parameter

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math.ST2017★ 1 cited

Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions

Kohei Chiba

In this paper, we consider the problem of estimating the lead-lag parameter between two stochastic processes driven by fractional Brownian motions (fBMs) of the Hurst parameter gre…