Parameter estimation for rough differential equations
classification
🧮 math.PR
math.STstat.TH
keywords
differentialdrivenequationsfractionalroughasymptoticbrownianconsistency
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We construct the "expected signature matching" estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estimate parameters of a diffusion and a fractional diffusions, that is, a differential equation driven by fractional Brownian motion.
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