Fractional diffusion with partial observations

DOI10.1080/03610926.2011.581173MaRDI QIDQ2890081zbMATH OpenOpenAlexFDO

Authors Alexandre Brouste, Alexandre Popier, Marina Kleptsyna

Publication date 8 June 2012

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.581173

zbMATH Keywords

experiment designfractional diffusionKalman-Bucy filteringMLE

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Asymptotic properties of parametric estimators (62F12) Optimal statistical designs (62K05) Non-Markovian processes: estimation (62M09)

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• Controlled drift estimation in fractional diffusion linear systems
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Cites work

• Almost sure parameter estimation and convergence rates for hidden Markov models
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Asymptotic normality of the maximum likelihood estimator in state space models
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Asymptotic properties of MLE for partially observed fractional diffusion system
• Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Design for estimation of the drift parameter in fractional diffusion systems
• Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises
• Leroux's method for general hidden Markov models
• Linear estimation of self-similar processes via Lamperti's transformation
• Maximum-likelihood estimation for hidden Markov models
• Optimal inputs for linear system identification
• Statistical inference for ergodic diffusion processes.
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains

Cited in

(8)

• Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises
• A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift
• Adaptative design for estimation of parameter of second order differential equation in fractional diffusion system
• Controlled drift estimation in fractional diffusion linear systems
• Fractional diffusion: recovering the distributed fractional derivative from overposed data
• Design for estimation of the drift parameter in fractional diffusion systems
• Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion
• Asymptotic properties of MLE for partially observed fractional diffusion system

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