Optimal estimation of a signal perturbed by a mixed fractional Brownian motion

MaRDI QIDQ4559031zbMATH OpenFDO

Authors B. L. S. Prakasa Rao

Publication date 30 November 2018

Full work available at URL http://tsp.imath.kiev.ua/files/2220/art2220_06.pdf

zbMATH Keywords

maximum likelihood estimationBayes estimationmixed fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

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Cited in

(8)

• Sharp minimax estimation of the variance of Brownian motion corrupted with Gaussian noise
• Fractional processes and their statistical inference: an overview
• Optimal estimation of a signal perturbed by a fractional Brownian noise
• Optimization of small deviation for mixed fractional Brownian motion with trend
• Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion
• Some statistical results of the process driven by mixed fractional Brownian motion
• Optimal estimation of a signal perturbed by a sub-fractional Brownian motion
• Maximum-likelihood estimators in the mixed fractional Brownian motion

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