Remarks on parameter estimation for the drift of fractional Brownian sheet

DOI10.1007/s40306-013-0017-0zbMath1273.62197OpenAlexW2083096106MaRDI QIDQ361246

Jun-Feng Liu

Publication date: 29 August 2013

Published in: Acta Mathematica Vietnamica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40306-013-0017-0

zbMATH Keywords

Girsanov theoremsuperefficient James-Stein estimators

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Efficient and superefficient estimators of filtered Poisson process intensities ⋮ Functional Cramér-Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes

Cites Work

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• Estimation of the drift of fractional Brownian motion
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Anisotropic analysis of some Gaussian models
• Fractional Brownian sheet
• Itô formula and local time for the fractional {B}rownian sheet
• Regularization of differential equations by fractional noise.
• Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet

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