Maximum likelihood estimation for Gaussian process with nonlinear drift

DOI10.15388/NA.2018.1.9MaRDI QIDQ4968181zbMATH OpenOpenAlexFDO

Authors K. V. Ral'chenko, S. V. Shklyar, Yuliya S. Mishura

Publication date 12 July 2019

Published in Nonlinear Analysis: Modelling and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15388/na.2018.1.9

zbMATH Keywords

continuous observationsdiscrete observationsGaussian processmaximum likelihood estimatorstrong consistency

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

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Cites work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence
• Estimating the mean function of a Gaussian process and the Stein effect
• Estimation of the drift of fractional Brownian motion
• Estimators for the Drift of Subfractional Brownian Motion
• Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
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• Maximum likelihood drift estimation for the mixing of two fractional Brownian motions
• Maximum-likelihood estimators and random walks in long memory models
• Mixed Gaussian processes: a filtering approach
• Some properties of the sub-fractional Brownian motion
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Sub-fractional Brownian motion and its relation to occupation times

Cited in

(4)

• Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions
• A matrix-free approach for solving the parametric Gaussian process maximum likelihood problem
• Distance between the fractional Brownian motion and the space of adapted Gaussian martingales
• Drift estimation with non-Gaussian noise using Malliavin calculus

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