∈-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion
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Publication:5324860
DOI10.1515/ROSE.2008.009zbMath1198.62080MaRDI QIDQ5324860
B. L. S. Prakasa Rao, Mahendra Nath Mishra
Publication date: 8 August 2009
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
maximum likelihood estimation; fractional Brownian motion; upper functions; linear stochastic differential equations; lower functions; fractional Ornstein-Uhlenbeck type process
Cites Work
- Upper and lower functions for martingales and mixing processes
- 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
- On the Law of the Iterated Logarithm for One-Dimensional Diffusion Processes
- A Characterization of the Upper and Lower Classes in Terms of Convergence Rates
- Parameter estimation and optimal filtering for fractional type stochastic systems