Estimation of the drift of Riemann-Liouville fractional Brownian motion

We consider the problem of efficient estimation of the drift of Riemann-Liouville fractional Brownian motion XH:=(XtH)t∈[0,T] with Hurst parameter H less than 12. We also construct superefficient James-Stein type estimators which dominate under the usual quadratic risk, the natural maximum likelihood estimator.