Estimation for Translation of a Process Driven by Fractional Brownian Motion

DOI10.1080/07362990500278725MaRDI QIDQ5707908zbMATH OpenOpenAlexFDO

Authors B. L. S. Prakasa Rao

Publication date 25 November 2005

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

Full work available at URL https://doi.org/10.1080/07362990500278725

zbMATH Keywords

maximum likelihood estimationstochastic differential equationfractional Brownian motionfractional Ornstein-Uhlenbeck type processestimation for translation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09) Generalizations of martingales (60G48)

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Cites work

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• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• Parameter estimation and optimal filtering for fractional type stochastic systems
• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process

Cited in

(1)

• Optimal estimation of a signal perturbed by a sub-fractional Brownian motion

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