Parametric estimation for linear system of stochastic differential equations driven by fractional Brownian motions with different Hurst indices

DOI10.1090/S0094-9000-09-00788-1zbMath1224.62034MaRDI QIDQ5391364

B. L. S. Prakasa Rao

Publication date: 6 April 2011

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

Wiener processmaximum likelihood estimatetrend parameter

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)

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