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

zbMATH Open1413.60031MaRDI QIDQ4559031FDOQ4559031

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

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zbMATH Keywords

maximum likelihood estimationBayes estimationmixed fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Cited In (8)

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

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