Estimation of the lead–lag parameter between two stochastic processes driven by fractional Brownian motions

• Published in: Statistical inference for stochastic processes : an international journal devoted to time series analysis and the statistics of continuous time processes and dynamic systems Vol. 22; no. 3; pp. 323 - 357
• Main Author: Chiba, Kohei
• Format: Journal Article
• Language: English
• Published: Dordrecht Springer Netherlands 01.10.2019; Springer Nature B.V
• Subjects: Computer simulation; Convergence; Economic models; Ion migration; Mathematical models; Mathematics; Mathematics and Statistics; Parameter estimation; Probability Theory and Stochastic Processes; Process parameters; Statistical Theory and Methods; Stochastic models; Stochastic processes; 60G22; 62M09; Non-synchronous observations; Contrast estimation; Fractional Brownian motion; Lead–lag effect

In this paper, we consider the problem of estimating the lead–lag parameter between two stochastic processes driven by fractional Brownian motions (fBMs) of the Hurst parameter greater than 1/2. First we propose a lead–lag model between two stochastic processes involving fBMs, and then construct a c...