Estimation of change point for switching fractional diffusion processes

DOI10.1080/17442508.2013.802791zbMath1317.60042OpenAlexW2024417082MaRDI QIDQ2875276

B. L. S. Prakasa Rao, Mahendra Nath Mishra

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.802791

zbMATH Keywords

fractional Brownian motionmaximum likelihood estimatorchange pointfractional diffusion processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Inference from stochastic processes and fuzziness (62M86)

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