Estimation for translation of a process driven by fractional Brownian motion

被引：3

作者：

Rao, BLSP ^{[1
]}

机构：

[1] Univ Hyderabad, Dept Math & Stat, Hyderabad 500046, Andhra Pradesh, India

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2005年 / 23卷 / 06期

关键词：

estimation for translation; fractional Brownian motion; fractional Ornstein-Uhlenbeck type process; maximum likelihood estimation; stochastic differential equation;

D O I：

10.1080/07362990500278725

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We investigate the general problem of estimating the translation of a stochastic process governed by a stochastic differential equation driven by a fractional Brownian motion. The special case of the Ornstein-Uhlenbeck process is discussed in particular.

引用

页码：1199 / 1212

页数：14

共 14 条

[1] Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets [J].

Baran, S ;

Pap, G ;

van Zuijlen, MCA .

COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2003, 45 (4-5) :563-579

[2]

Hu YZ, 2001, TRENDS MATH, P153

[3]

Kleptsyna M., 2002, STAT INFER STOCH PRO, V5, P229, DOI DOI 10.1023/A:1021220818545

[4] Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems [J].

M.L. Kleptsyna ;

A. Le Breton ;

M.-C. Roubaud .

Statistical Inference for Stochastic Processes, 2000, 3 (1-2) :173-182

[5] Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion [J].

Le Breton, A .

STATISTICS & PROBABILITY LETTERS, 1998, 38 (03) :263-274

[6]

Lipster R., 1980, Stochastics, V3, P217, DOI DOI 10.1080/17442508008833146

[7] An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions [J].

Norros, I ;

Valkeila, E ;

Virtamo, J .

BERNOULLI, 1999, 5 (04) :571-587

[8]

PIPIRAS V, 2000, PROBAB THEORY REL, V118, P121

[9]

Prakasa Rao, 2004, SEQUENTIAL ANAL, V23, P33, DOI 10.1081/SQA-120030193

[10]

Prakasa Rao BLS, 1999, STAT INFERENCE DIFFU

← 1 2 →