Parameter estimation for stochastic equations with additive fractional Brownian sheet

DOI10.1007/S11203-007-9019-7MaRDI QIDQ623488zbMATH OpenOpenAlexFDO

Authors Tommi Sottinen, Ciprian A. Tudor

Publication date 5 February 2011

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-007-9019-7

zbMATH Keywords

Malliavin calculusmaximum likelihood estimatorfractional Brownian sheetgirsanov transform

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Signal detection and filtering (aspects of stochastic processes) (60G35)

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• scientific article; zbMATH DE number 2169747 (Why is no real title available?)
• scientific article; zbMATH DE number 2118800 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Fractional Brownian sheet
• Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet
• Itô formula and local time for the fractional {B}rownian sheet
• On the Wiener integral with respect to the fractional Brownian motion
• On the equivalence of multiparameter Gaussian processes
• Parameter estimation and optimal filtering for fractional type stochastic systems
• Regularization of differential equations by fractional noise.
• Some linear fractional stochastic equations
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical inference with fractional Brownian motion

Cited in

(14)

• Some linear fractional stochastic equations
• Minimum distance parameter estimation for a stochastic equation with additive fractional Brownian sheet
• Parametric estimation for SDEs with additive sub-fractional Brownian motion
• Parameter estimation in linear regression driven by a Wiener sheet
• Drift parameter estimation in fractional diffusions driven by perturbed random walks
• An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process
• Remarks on parameter estimation for the drift of fractional Brownian sheet
• Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk
• Parameter estimation of a shifted Wiener sheet
• Wiener integrals with respect to the Hermite random field and applications to the wave equation
• Moderate deviation for parameter estimator in the stochastic parabolic equations with additive fractional Brownian motion
• An identification problem for systems with additive fractional Brownian field
• Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet
• Maximum-likelihood estimators and random walks in long memory models

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