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Original Article

Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes

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Pages 664-686 | Received 29 Mar 2014, Accepted 19 Apr 2014, Published online: 16 Jun 2014
 

Abstract

We study the asymptotic distribution of the maximum likelihood estimator for the drift parameter and the change point for fractional diffusion processes as the noise intensity tends to zero.

Mathematics Subject Classification:

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