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

DOI10.1080/07362994.2018.1434004zbMATH Open1401.62137OpenAlexW2792264105MaRDI QIDQ4685690FDOQ4685690

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)

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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

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