On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
Articles
Kęstutis Kubilius
Vilnius University
Dmitrij Melichov
Vilnius Gediminas Technical University, Lithuania
Published 2016-11-25
https://doi.org/10.15388/NA.2016.6.9
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Keywords

fractional Gompertz diffusion process
Hurst index
diffusion coefficient

How to Cite

Kubilius, K. and Melichov, D. (2016) “On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process”, Nonlinear Analysis: Modelling and Control, 21(6), pp. 861–882. doi:10.15388/NA.2016.6.9.

Abstract

We study some estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process and prove that they are strongly consistent and most of them are asymptotically normal. Moreover, we compare the asymptotic behavior of these estimators with the aid of computer simulations.

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