Statistical Inference for Fractional Diffusion Processes

DOI10.1002/9780470667125zbMath1211.62143OpenAlexW2503053036MaRDI QIDQ3572048

B. L. S. Prakasa Rao

Publication date: 8 July 2010

Published in: Wiley Series in Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/9780470667125

zbMATH Keywords

maximum likelihood estimationfractional Brownian motionparametric inferencefractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Point estimation (62F10) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Diffusion processes (60J60)

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