Paper No. 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.