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- W3101563084 abstract "We construct the expected signature matching estimator for differential equations driven by rough paths and we prove its consistency and asymptotic normality. We use it to estimate parameters of a diffusion and a fractional diffusions, that is, a differential equation driven by fractional Brownian motion." @default.
- W3101563084 created "2020-11-23" @default.
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- W3101563084 date "2011-08-01" @default.
- W3101563084 modified "2023-09-25" @default.
- W3101563084 title "Parameter estimation for rough differential equations" @default.
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- W3101563084 doi "https://doi.org/10.1214/11-aos893" @default.
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