Parameter estimation of stochastic differential equation driven by small fractional noise
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Publication:5095847
DOI10.1080/02331888.2022.2098960OpenAlexW4221158105WikidataQ114100907 ScholiaQ114100907MaRDI QIDQ5095847
Yasutaka Shimizu, Shohei Nakajima
Publication date: 11 August 2022
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2201.00372
stochastic differential equationparameter estimationasymptotic normalityfractional Brownian motionsmall noise
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Deep learning-based parameter estimation of stochastic differential equations driven by fractional Brownian motions with measurement noise ⋮ Asymptotic inference for stochastic differential equations driven by fractional Brownian motion
Cites Work
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