Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes

DOI10.1080/07362994.2014.917359zbMath1296.62180OpenAlexW2013633951MaRDI QIDQ2875523

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

Publication date: 8 August 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2014.917359

zbMATH Keywords

estimationfractional Brownian motionchange pointfractional diffusion process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Unnamed Item ⋮ Fractional processes and their statistical inference: an overview ⋮ Estimation of intrinsic growth factors in a class of stochastic population model

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