Abstract
The Radon-Nikodym derivative between a centred fractional Brownian motion Z and the same process with constant drift is derived by finding an integral transformation which changes Z to a process with independent increments. A representation of Z through a standard Brownian motion on a finite interval is given. The maximum-likelihood estimator of the drift and some other applications are presented.
Original language | English |
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Pages (from-to) | 571-587 |
Journal | Bernoulli |
Volume | 5 |
Issue number | 4 |
Publication status | Published - 1999 |
MoE publication type | A1 Journal article-refereed |