Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion (Q4622807)
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scientific article; zbMATH DE number 7024345
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| English | Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion |
scientific article; zbMATH DE number 7024345 |
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Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion (English)
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18 February 2019
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linear stochastic differential equations
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mixed fractional Ornstein-Uhlenbeck process
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mixed fractional Brownian motion
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maximum likelihood estimation
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Bayes estimation
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consistency
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asymptotic normality
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Bernstein-von Mises theorem
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0.9145488142967224
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0.8515584468841553
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0.8442079424858093
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0.8408846855163574
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