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Discrete-time inference for slow-fast systems driven by fractional Brownian motion

22 July 2020
S. Bourguin
S. Gailus
K. Spiliopoulos
ArXiv (abs)PDFHTML
Abstract

We study statistical inference for small-noise-perturbed multiscale dynamical systems where the slow motion is driven by fractional Brownian motion. We develop statistical estimators for both the Hurst index as well as a vector of unknown parameters in the model based on a single time series of observations from the slow process only. We prove that these estimators are both consistent and asymptotically normal as the amplitude of the perturbation and the time-scale separation parameter go to zero. Numerical simulations illustrate the theoretical results.

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