Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process

DOI10.1081/SQA-120030193zbMath1103.62076OpenAlexW2035641807MaRDI QIDQ3155677

B. L. S. Prakasa Rao

Publication date: 18 January 2005

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sqa-120030193

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)

Related Items

Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion ⋮ Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion ⋮ Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) ⋮ Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process ⋮ Optimal estimation of a signal perturbed by a sub-fractional Brownian motion ⋮ Estimation for Translation of a Process Driven by Fractional Brownian Motion ⋮ Optimal Sequential Change Detection for Fractional Diffusion-Type Processes ⋮ Sequential Testing for Simple Hypotheses for Processes Driven by Fractional Brownian Motion

Cites Work

• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Parameter estimation and optimal filtering for fractional type stochastic systems
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