Optimal Estimation of a Signal Perturbed by a Fractional Brownian Noise

DOI10.1137/S0040585X97T987521zbMath1419.62204arXiv1707.07329MaRDI QIDQ2790684

A. V. Artemov, E. V. Burnaev

Publication date: 8 March 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.07329

zbMATH Keywords

optimal stoppingmaximum likelihood estimatesequential estimationfractal Brownian motionBayesian estimate

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Bayesian inference (62F15) Sequential estimation (62L12)

Related Items

Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process ⋮ Optimal estimation of a signal perturbed by a sub-fractional Brownian motion

Uses Software

• QSIMVN

Cites Work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Bayesian Sequential Estimation of a Drift of Fractional Brownian Motion
• Fractional Brownian Motions, Fractional Noises and Applications
• Parameter estimation and optimal filtering for fractional type stochastic systems
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