Bayesian Sequential Estimation of a Drift of Fractional Brownian Motion

DOI10.1080/07474946.2013.803809zbMath1294.62175OpenAlexW2084210104MaRDI QIDQ2854354

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Publication date: 18 October 2013

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2013.803809

zbMATH Keywords

fractional Brownian motionpenalty functionsequential estimation

Mathematics Subject Classification ID

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

Related Items (12)

Sequential Joint Detection and Estimation ⋮ On the sequential testing and quickest change-point detection problems for Gaussian processes ⋮ On the fractional stochastic integration for random non-smooth integrands ⋮ Optimal estimation of a signal perturbed by a sub-fractional Brownian motion ⋮ Asymptotics of the boundaries in one non-linear optimal stopping problem ⋮ On Chernoff's test for a fractional Brownian motion ⋮ Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci ⋮ Optimal Estimation of a Signal Perturbed by a Fractional Brownian Noise ⋮ Effective signal extraction via local polynomial approximation under long-range dependency conditions ⋮ Bayesian sequential least-squares estimation for the drift of a Wiener process ⋮ A Bayesian sequential test for the drift of a fractional Brownian motion ⋮ Methods of sequential hypothesis testing for the drift of a fractional Brownian motion

Cites Work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Fractional Brownian Motions, Fractional Noises and Applications

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