Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes

DOI10.1080/07362994.2014.917359MaRDI QIDQ2875523zbMATH OpenOpenAlexFDO

Authors B. L. S. Prakasa Rao, Mahendra Nath Mishra

Publication date 8 August 2014

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2014.917359

zbMATH Keywords

change pointestimationfractional Brownian motionfractional diffusion process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov processes: estimation; hidden Markov models (62M05)

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