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

DOI10.1080/07362994.2016.1273786zbMATH Open1364.60047OpenAlexW2575524883MaRDI QIDQ2986702FDOQ2986702

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

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

Cites Work

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• On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
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• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• Sequential Testing for Simple Hypotheses for Processes Driven by Fractional Brownian Motion
• Maximal Inequalities for Fractional Brownian Motion: An Overview
• Optimal estimation of a signal perturbed by a fractional Brownian noise
• Estimation for Translation of a Process Driven by Fractional Brownian Motion

Cited In (8)

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

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