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Remarks on parameter estimation for the drift of fractional brownian sheet
Junfeng Liu


Abstract

Let {Bzα,β,z∈[0,T]2} be a d-dimensional fractional Brownian sheet with Hurst parameters (α,β)∈(0,1/2)2. We consider the problem of parameter estimation for the drift of fractional Brownian sheet Bα,β and construct superefficient James–Stein estimators which dominate, under the usual quadratic risk, the natural maximum likelihood estimator.

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