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scientific article; zbMATH DE number 2118800
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scientific article; zbMATH DE number 2118800 |
Statements
24 November 2004
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maximum likelihood estimator
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Bayes estimator
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consistency
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asymptotic distribution
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0.8766727447509766
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0.8766467571258545
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0.8693857789039612
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A trajectory of a stochastic process described by the equation \[ dX(t)=[a(t,X(t))+\vartheta b(t,X(t))]\,dt+ \sigma(t)\,dW_t^H, \] where \(\vartheta\) is an unknown parameter and \(W^H\) is a fractional Brownian motion with Hurst parameter \(H\in[1/2,1)\), is observed for \(t\in[0,T]\). Maximum likelihood and Bayes estimators of \(\vartheta\) are described. Their consistency is demonstrated and asymptotic distributions are obtained.
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