Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion

DOI10.1515/rose-2017-0018OpenAlexW4244878746MaRDI QIDQ1684055

B. L. S. Prakasa Rao

Publication date: 4 December 2017

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2017-0018

zbMATH Keywords

consistencyasymptotic normalitymaximum likelihood estimationBayes estimationBernstein-von Mises theoremsub-fractional Brownian motionlinear stochastic differential equationssub-fractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and fuzziness (62M86)

Related Items (7)

Fractional processes and their statistical inference: an overview ⋮ Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion ⋮ Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion ⋮ Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion ⋮ Maximum likelihood estimation for sub-fractional Vasicek model ⋮ Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion ⋮ Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation

Cites Work

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