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On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
Kestutis Kubilius, Viktor Skorniakov
Strongly consistent and asymptotically normal estimators of the Hurst parameter of solutions of stochastic differential equations are proposed. The estimators are based on discrete…
Exact confidence intervals of the extended Orey index for Gaussian processes
Kestutis Kubilius, Dmitrij Melichov
In this paper exact confidence intervals for the Orey index of Gaussian processes are obtained using concentration inequalities for Gaussian quadratic forms and discrete observatio…
Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift
Kestutis Kubilius, Viktor Skorniakov, Dmitrij Melichov
Strongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are pr…