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- W4232000981 abstract "We consider a drift parameter estimation problem when the state process is a reflected fractional Brownian motion (RFBM) with a nonzero drift parameter and the observation is the associated local time process. The RFBM process arises as the key approximating process for queueing systems with long-range dependent and self-similar input processes, where the drift parameter carries the physical meaning of the surplus service rate and plays a central role in the heavy-traffic approximation theory for queueing systems. We study a statistical estimator based on the cumulative local time process and establish its strong consistency and asymptotic normality." @default.
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- W4232000981 date "2013-06-01" @default.
- W4232000981 modified "2023-10-18" @default.
- W4232000981 title "Drift Parameter Estimation for a Reflected Fractional Brownian Motion Based on its Local Time" @default.
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- W4232000981 doi "https://doi.org/10.1017/s0021900200013589" @default.
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