Bayesian sequential estimation of a drift of fractional Brownian motion

DOI10.1080/07474946.2013.803809MaRDI QIDQ2854354zbMATH OpenOpenAlexFDO

Authors Umut Cetin, A. Novikov, Albert N. Shiryaev

Publication date 18 October 2013

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2013.803809

zbMATH Keywords

fractional Brownian motionpenalty functionsequential estimation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Bayesian inference (62F15) Sequential estimation (62L12)

Recommendations

• A Bayesian sequential test for the drift of a fractional Brownian motion
• On Chernoff's test for a fractional Brownian motion
• On drift parameter estimation in models with fractional Brownian motion
• Optimal estimation of a signal perturbed by a fractional Brownian noise
• Estimation of the drift of fractional Brownian motion

Cites work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Fractional Brownian Motions, Fractional Noises and Applications

Cited in

(16)

• Fixed width interval estimation for the reciprocal drift of Brownian motion
• On Chernoff's test for a fractional Brownian motion
• Bayesian sequential least-squares estimation for the drift of a Wiener process
• Optimal estimation of a signal perturbed by a fractional Brownian noise
• Methods of sequential hypothesis testing for the drift of a fractional Brownian motion
• Sequential joint detection and estimation
• Optimal estimation of a signal perturbed by a sub-fractional Brownian motion
• Asymptotics of the boundaries in one non-linear optimal stopping problem
• Minimum variance unbiased estimation of the drift of brownian motion with linear stopping boundaries
• On the sequential testing and quickest change-point detection problems for Gaussian processes
• A Bayesian sequential test for the drift of a fractional Brownian motion
• Discussion on ``Sequential estimation for time series models by T. N. Sriram and Ross Iaci
• Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise
• On the fractional stochastic integration for random non-smooth integrands
• On parameter estimation of diffusion-type processes: sequential estimation revisited
• Effective signal extraction via local polynomial approximation under long-range dependency conditions

This page was built for publication: Bayesian sequential estimation of a drift of fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2854354)