Sequential Testing for Simple Hypotheses for Processes Driven by Fractional Brownian Motion

DOI10.1081/SQA-200056198zbMath1120.62063OpenAlexW2027063358MaRDI QIDQ4681137

B. L. S. Prakasa Rao

Publication date: 14 June 2005

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sqa-200056198

zbMATH Keywords

stochastic differential equationssequential testoptimal test

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02)

Related Items (3)

On the sequential testing and quickest change-point detection problems for Gaussian processes ⋮ Optimal estimation of a signal perturbed by a sub-fractional Brownian motion ⋮ Optimal Sequential Change Detection for Fractional Diffusion-Type Processes

Cites Work

• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Sequential estimation of the parameters of diffusion processes
• General approach to filtering with fractional brownian noises — application to linear systems
• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• Parameter estimation and optimal filtering for fractional type stochastic systems
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