Design for estimation of the drift parameter in fractional diffusion systems

DOI10.1007/s11203-012-9067-5zbMath1242.62090MaRDI QIDQ438676

Alexandre Popier, Alexandre Brouste, Marina Kleptsyna

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 estimation; maximum likelihood; fractional diffusion; optimal designs

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62K05: Optimal statistical designs

60G22: Fractional processes, including fractional Brownian motion

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34H05: Control problems involving ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

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