Parameter estimation for rough differential equations

Anastasia Papavasiliou, Christophe Ladroue

The Annals of Statistics · 2011 · Volume 39 · Issue 4

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.

Keywords

62F12, 62F12, 62M99, Diffusions, fractional diffusions, generalized moment matching, Parameter estimation, Rough paths

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