Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process

DOI10.1081/SQA-120030193zbMATH Open1103.62076OpenAlexW2035641807MaRDI QIDQ3155677FDOQ3155677

Authors: 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

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Mathematics Subject Classification ID

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

Cites Work

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• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
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• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• Parameter estimation and optimal filtering for fractional type stochastic systems
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Cited In (12)

• Estimation for Translation of a Process Driven by Fractional Brownian Motion
• Optimal sequential change detection for fractional diffusion-type processes
• Optimal estimation of a signal perturbed by a sub-fractional Brownian motion
• Sequential maximum likelihood estimation for the hyperbolic diffusion process
• Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion
• Sequential Testing for Simple Hypotheses for Processes Driven by Fractional Brownian Motion
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Berry-Esseen type bound for fractional Ornstein-Uhlenbeck type process driven by mixed fractional Brownian motion
• Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process
• Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion
• Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process

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