Parameter Estimation in Rough Bessel Model

Abstract

In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with H1/2. As an auxiliary result, we also prove the continuity of the fractional Bessel process. The results are illustrated with simulations.

Keywords

• fractional Brownian motion
• Bessel process
• parameter estimation