Design for estimation of the drift parameter in fractional diffusion systems
DOI10.1007/S11203-012-9067-5zbMATH Open1242.62090OpenAlexW2144824078MaRDI QIDQ438676FDOQ438676
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
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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)
Cites Work
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- Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises
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- Linearization of controlled stochastic evolution systems in a Hilbert space
Cited In (9)
- 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
- A general drift estimation procedure for stochastic differential equations with additive fractional noise
- Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
- Controlled drift estimation in fractional diffusion linear systems
- Fractional diffusion with partial observations
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
- Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process
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