65th ISI World Statistics Congress

65th ISI World Statistics Congress

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Statistical estimation in the fractional Bessel models

Author

YM
Prof. Yuliya Mishura

Co-author

  • A
    Anton Yurchenko-Tytarenko

Conference

65th ISI World Statistics Congress

Format: IPS Abstract - WSC 2025

Keywords: estimation, parameter

Session: IPS 673 - Statistical Estimation in Diffusion and Fractional Diffusion Models and High-Dimensional Analysis, with Applications

Monday 6 October 2 p.m. - 3:40 p.m. (Europe/Amsterdam)

Abstract

We construct consistent statistical estimators of the Hurst index, volatility
coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with small Hurst indices.
As an auxiliary result, we also prove the continuity of the fractional Bessel process. The
results are illustrated with simulations.

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