Local asymptotic normality and estimation via Kalman-Bucy filter for linear systems driven by fractional Brownian motions
DOI10.1080/07362994.2016.1155461zbMath1342.62154OpenAlexW2419293860MaRDI QIDQ3185985
B. L. S. Prakasa Rao, Mahendra Nath Mishra
Publication date: 8 August 2016
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2016.1155461
linear systemsestimationfractional Brownian motioninnovation processoptimal filteringKalman-Bucy filterdrift parameter
Inference from stochastic processes and prediction (62M20) Fractional processes, including fractional Brownian motion (60G22) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)
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