Design for estimation of the drift parameter in fractional diffusion systems

DOI10.1007/S11203-012-9067-5MaRDI QIDQ438676zbMATH OpenOpenAlexFDO

Authors Alexandre Brouste, Marina Kleptsyna, Alexandre Popier

Publication date 31 July 2012

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-012-9067-5

zbMATH Keywords

parameter estimationmaximum likelihoodfractional diffusionoptimal designs

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Optimal statistical designs (62K05) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Control problems involving ordinary differential equations (34H05)

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Cites work

• scientific article; zbMATH DE number 3619206 (Why is no real title available?)
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• Optimal policies for identification of stochastic linear systems
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Cited in

(9)

• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• Controlled drift estimation in fractional diffusion linear systems
• A general drift estimation procedure for stochastic differential equations with additive fractional noise
• A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift
• Adaptative design for estimation of parameter of second order differential equation in fractional diffusion system
• Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
• Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
• Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process
• Fractional diffusion with partial observations

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