Design for estimation of the drift parameter in fractional diffusion systems

DOI10.1007/s11203-012-9067-5zbMath1242.62090OpenAlexW2144824078MaRDI QIDQ438676

Alexandre Popier, Alexandre Brouste, Marina Kleptsyna

Publication date: 31 July 2012

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-012-9067-5

zbMATH Keywords

parameter estimationmaximum likelihoodfractional diffusionoptimal designs

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Optimal statistical designs (62K05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control problems involving ordinary differential equations (34H05) Ordinary differential equations and systems with randomness (34F05)

Related Items

Fractional Diffusion with Partial Observations ⋮ A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift ⋮ Adaptative design for estimation of parameter of second order differential equation in fractional diffusion system ⋮ A general drift estimation procedure for stochastic differential equations with additive fractional noise ⋮ Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes ⋮ Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process ⋮ Minimum distance estimation for fractional Ornstein-Uhlenbeck type process ⋮ Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process

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