Quasi-Likelihood Analysis of Fractional Brownian Motion with Constant Drift under High-Frequency Observations

Consider an estimation of the Hurst parameter $H\in (0,1)$ and the volatility parameter $\sigma >0$ for a fractional Brownian motion with a drift term under high-frequency observations with a finite time interval. In the present paper, we propose a consistent estimator of the parameter $\theta =(H,\sigma )$ combining the ideas of a quasi-likelihood function based on a local Gaussian approximation of a high-frequently observed time series and its frequency-domain approximation. Moreover, we prove an asymptotic normality property of the proposed estimator for all $H\in (0,1)$ when the drift process is constant.