Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises

DOI10.1016/j.jspi.2009.08.001zbMath1177.62027OpenAlexW2083190908MaRDI QIDQ1039494

Alexandre Brouste

Publication date: 30 November 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.08.001

zbMATH Keywords

maximum likelihood estimationcontinuous-time observationspartially observed diffusion process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (10)

Fractional Diffusion with Partial Observations ⋮ Adaptative design for estimation of parameter of second order differential equation in fractional diffusion system ⋮ Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes ⋮ Design for estimation of the drift parameter in fractional diffusion systems ⋮ Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation ⋮ Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process ⋮ Minimum distance estimation for fractional Ornstein-Uhlenbeck type process ⋮ Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process ⋮ Parameter identification for the discretely observed geometric fractional Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Maximum likelihood estimator for hidden Markov models in continuous time
• Asymptotic properties of MLE for partially observed fractional diffusion system
• Integration with respect to fractal functions and stochastic calculus. I
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• Differential equations driven by rough signals
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Statistical inference for ergodic diffusion processes.
• Differential equations driven by fractional Brownian motion
• Fractional {O}rnstein-{U}hlenbeck processes
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Linear estimation of self-similar processes via Lamperti's transformation
• A Cameron-Martin type formula for general Gaussian processes--a filtering approach
• Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion

This page was built for publication: Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises