Original version
Fractal and Fractional. 2023, 7 (7):508, DOI: https://doi.org/10.3390/fractalfract7070508
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 H<1/2. As an auxiliary result, we also prove the continuity of the fractional Bessel process. The results are illustrated with simulations.