Parameter estimation in rough Bessel model

Published 24 May 2023 in math.PR | (2305.15205v1)

Abstract: In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with $H<1/2$. As an auxiliary result, we also prove the continuity of the fractional Bessel process. The results are illustrated with simulations.

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