Parametric estimation for cusp-type signal driven by fractional Brownian motion

DOI10.1080/07362994.2019.1646140MaRDI QIDQ5206079zbMATH OpenOpenAlexWikidataFDO

Authors B. L. S. Prakasa Rao, Mahendra Nath Mishra

Publication date 18 December 2019

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

Full work available at URL https://doi.org/10.1080/07362994.2019.1646140

zbMATH Keywords

maximum likelihood methodstochastic differential equationfractional Brownian motionestimation of parametersstochastic processdrift parameter

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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• On parameter estimation for cusp-type signals
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• Statistical inference for fractional diffusion processes
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Cited in

(4)

• On parameter estimation for cusp-type signals
• Fractional processes and their statistical inference: an overview
• On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion
• Estimation for misspecification when theoretical model for signal is smooth but real signal is of cusp-type and driven by a fractional Brownian motion

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