Optimal estimation of a signal perturbed by a sub-fractional Brownian motion

DOI10.1080/07362994.2016.1273786zbMath1364.60047OpenAlexW2575524883MaRDI QIDQ2986702

B. L. S. Prakasa Rao

Publication date: 16 May 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2016.1273786

zbMATH Keywords

maximum likelihood estimationBayes estimationsubfractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Bayesian inference (62F15)

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Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion ⋮ Fractional processes and their statistical inference: an overview ⋮ The structure of autocovariance matrix of discrete time subfractional Brownian motion ⋮ Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion ⋮ Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion ⋮ Maximum likelihood estimation for sub-fractional Vasicek model ⋮ Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion ⋮ Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation

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