Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion

DOI10.1080/07362994.2018.1434004MaRDI QIDQ4685690zbMATH OpenOpenAlexFDO

Authors B. L. S. Prakasa Rao

Publication date 9 October 2018

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2018.1434004

zbMATH Keywords

consistencyinstrumental variable estimationasymptotic mixed normalitysub-fractional Brownian motionlinear stochastic differential equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22)

Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 44889 (Why is no real title available?)
• scientific article; zbMATH DE number 1348627 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• A new instrumental variable estimation for diffusion processes
• A series expansion of fractional Brownian motion
• A strong law of large numbers for local martingales
• Estimators for the Drift of Subfractional Brownian Motion
• Instrumental Variable Estimation for Linear Stochastic Differential Equations Driven by Fractional Brownian Motion
• Instrumental variable estimation for a linear stochastic differential equation driven by a mixed fractional Brownian motion
• Itô's formula for a sub-fractional Brownian motion
• Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
• Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk
• On some maximal and integral inequalities for sub-fractional Brownian motion
• On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
• Optimal estimation of a signal perturbed by a sub-fractional Brownian motion
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• Parametric estimation for SDEs with additive sub-fractional Brownian motion
• Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
• Parametric estimation for sub-fractional Ornstein-Uhlenbeck process
• Some aspects of stochastic calculus for the sub-fractional Brownian motion
• Some properties of the sub-fractional Brownian motion
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical inference for fractional diffusion processes
• Stochastic delay evolution equations driven by sub-fractional Brownian motion
• Sub-fractional Brownian motion and its relation to occupation times
• The accuracy of the normal approximation for minimum contrast estimates

Cited in

(2)

• Fractional processes and their statistical inference: an overview
• Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation

This page was built for publication: Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4685690)