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math.ST2026
Exact maximum likelihood inference for drifted multi-sub-fractional Brownian motion at discrete observation
Afrah Al-Harby, Ezzedine Mliki, Manal Al-Ohali
Sub-fractional Brownian motion is self-similar and long-range dependent but has no stationary increments, so the increment covariance is not Toeplitz and no spectral density is ava…
math.ST2026
Exact finite-sample inference for multi-mixed fractional Brownian motion with drift
Afrah Al-Harby, Ezzedine Mliki
In this paper we study a linear drift perturbed by a superposition of independent fractional Brownian motions with known Hurst parameters and a common scale, observed at eq…