Modern Stochastics: Theory and Applications*

We construct an estimator of the unknown drift parameter $\theta \in \mathbb{R}$ in the linear model where ${B}^{H_{1}}$ and ${B}^{H_{2}}$ are two independent fractional Brownian motions with Hurst indices $H_{1}$ and $H_{2}$ satisfying the condition $\frac{1}{2}\le H_{1}<H_{2}<1$. Actually, we reduce the problem to the solution of the integral Fredholm equation of the 2nd kind with a specific weakly singular kernel depending on two power exponents. It is proved that the kernel can be presented as the product of a bounded continuous multiplier and weak singular one, and this representation allows us to prove the compactness of the corresponding integral operator. This, in turn, allows us to establish an existence–uniqueness result for the sequence of the equations on the increasing intervals, to construct accordingly a sequence of statistical estimators, and to establish asymptotic consistency.