Title: Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions,
Abstract: In this paper, we consider the problem of estimating the lead-lag parameter
between two stochastic processes driven by fractional Brownian motions (fBMs)
of the Hurst parameter greater than 1/2. First we propose a lead-lag model
between two stochastic processes involving fBMs, and then construct a
consistent estimator of the lead-lag parameter with possible convergence rate.
Our estimator has the following two features. Firstly, we can construct the
lead-lag estimator without using the Hurst parameters of the underlying fBMs.
Secondly, our estimator can deal with some non-synchronous and irregular
observations. We explicitly calculate possible convergence rate when the
observation times are (1) synchronous and equidistant, and (2) given by the
Poisson sampling scheme. We also present numerical simulations of our results
using the R package YUIMA.