Regularity conditions and the maximum likelihood estimation in dynamical systems with small fractional Brownian noise

DOI10.1515/156939706779801660zbMath1115.62080OpenAlexW4250554096MaRDI QIDQ3440809

Taras O. Androshchuk

Publication date: 29 May 2007

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939706779801660

zbMATH Keywords

regularitydynamical systemstrong consistencymaximum likelihood estimatefractional Brownian noiseuniform asymptotical normality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Uses Software

• PDEFIT

Cites Work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Statistical inference with fractional Brownian motion
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Parameter estimation and optimal filtering for fractional type stochastic systems
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