Maximum likelihood estimation for Gaussian process with nonlinear drift
DOI10.15388/NA.2018.1.9zbMath1420.62364OpenAlexW2793302363MaRDI QIDQ4968181
Kostiantyn Ralchenko, Sergiy Shklyar, Yuliya S. Mishura
Publication date: 12 July 2019
Published in: Nonlinear Analysis: Modelling and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15388/na.2018.1.9
Gaussian processmaximum likelihood estimatordiscrete observationsstrong consistencycontinuous observations
Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)
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Cites Work
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