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Paper No. 09-01

Download 09-01

A Papavasiliou and C Ladroue

Parameter Estimation for Rough Differential Equations

Abstract: We construct an estimator based on "signature matching" for differential equations driven by rough paths and we prove its consistency and asymptotic normality. Note that the Moment Matching estimator is a special case of this estimator.

Keywords: Rough paths, Diffusions, Generalized Moment Matching, Parameter Estimation.