Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion

DOI10.1515/ROSE.2008.003zbMath1198.62081OpenAlexW4251868583MaRDI QIDQ5324852

B. L. S. Prakasa Rao

Publication date: 8 August 2009

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

Full work available at URL: https://doi.org/10.1515/rose.2008.003

zbMATH Keywords

consistencymaximum likelihood estimationfractional Brownian motionlocal asymptotic normalitytime delayslocal asymptotic mixed normalitylinear stochastic differential equationfractional Ornstein-Uhlenbeck type processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65)

Related Items (5)

Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise ⋮ Classical robots perturbed by Lévy processes: analysis and Lévy disturbance rejection methods ⋮ Drift parameter estimation in fractional diffusions driven by perturbed random walks ⋮ Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion ⋮ Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk

Cites Work

• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Asymptotic inference for a linear stochastic differential equation with time delay
• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion
• Parameter estimation and optimal filtering for fractional type stochastic systems

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