Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion
From MaRDI portal
Publication:5324852
DOI10.1515/ROSE.2008.003zbMath1198.62081OpenAlexW4251868583MaRDI QIDQ5324852
Publication date: 8 August 2009
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/rose.2008.003
consistencymaximum likelihood estimationfractional Brownian motionlocal asymptotic normalitytime delayslocal asymptotic mixed normalitylinear stochastic differential equationfractional Ornstein-Uhlenbeck type processes
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65)
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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
- Asymptotic inference for a linear stochastic differential equation with time delay
- Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
- Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion
- Parameter estimation and optimal filtering for fractional type stochastic systems