Parametric estimation for SDEs with additive sub-fractional Brownian motion
zbMATH Open1360.62085MaRDI QIDQ2978451FDOQ2978451
Authors: Alassane Diédhiou, Clément Manga, Ibrahima Mendy 
Publication date: 25 April 2017
Full work available at URL: http://www.jnmas.org/jnmas3-5.pdf
Recommendations
- Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk
- Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
- Parameter estimation for stochastic equations with additive fractional Brownian sheet
- scientific article; zbMATH DE number 2118800
- Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
Point estimation (62F10) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
Cited In (14)
- Optimal approximation of SDE's with additive fractional noise
- Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk
- Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
- Least squares estimator for \(\alpha\)-sub-fractional bridges
- Moderate deviation for parameter estimator in the stochastic parabolic equations with additive fractional Brownian motion
- Fractional processes and their statistical inference: an overview
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise
- Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion
- Parameter estimation for stochastic equations with additive fractional Brownian sheet
- Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion
- Maximum likelihood estimation for sub-fractional Vasicek model
- Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
This page was built for publication: Parametric estimation for SDEs with additive sub-fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2978451)
