Author

Afrah Al-Harby

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Preprint Sep 2026

Exact maximum likelihood inference for drifted multi-sub-fractional Brownian motion at discrete observation

Sub-fractional Brownian motion is self-similar and long-range dependent but has no stationary increments, so the increment covariance is not Toeplitz and no spectral density is available. We show that a complete finite-sample likelihood theory survives nonetheless. The model is a linear trend observed at $N$ equidistan...

Afrah Al-Harby, E. Mliki, M. Alohali · 0 citations

Preprint Sep 2026

Exact finite-sample inference for multi-mixed fractional Brownian motion with drift

In this paper we study a linear drift perturbed by a superposition of $m$ independent fractional Brownian motions with known Hurst parameters and a common scale, observed at $N$ equidistant times. Inference for such models is usually asymptotic; we show that here it is exact. We derive the maximum likelihood estimators...

Afrah Al-Harby, E. Mliki · 0 citations