A0610
Title: Asymptotically efficient estimation for mixed fractional Brownian motion under high-frequency observations
Authors: Tetsuya Takabatake - Hiroshima University (Japan) [presenting]
Abstract: The focus is on an asymptotically efficient estimation for a mixed fractional Brownian under high-frequency observations. Namely, a local asymptotic normality property for this setup is shown, and an asymptotically efficient estimator based on a one-step estimator using a quadratic variation-type estimator with pre-averaged data as an initial guess is proposed.
