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most citedEstimation of parameters of SDE driven by fractional Brownian motion with polynomial drift

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math.PR2013

On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion

K. Kubilius, V. Skorniakov, D. Melichov

Strongly consistent and asymptotic normal estimators of the Hurst index of a stochastic differential equation driven by a fractional Brownian motion are proposed. The estimators ar…