Instrumental Variable Estimation for Linear Stochastic Differential Equations Driven by Fractional Brownian Motion

DOI10.1080/07362990701567306zbMath1295.62083OpenAlexW1986397362MaRDI QIDQ5430132

B. L. S. Prakasa Rao

Publication date: 12 December 2007

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

Full work available at URL: https://doi.org/10.1080/07362990701567306

zbMATH Keywords

consistencyasymptotic normalityfractional Brownian motioninstrumental variable estimationlinear stochastic differential equationsfractional Ornstein-Uhlenbeck type process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion

Cites Work

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• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• A new instrumental variable estimation for diffusion processes
• Parameter estimation and optimal filtering for fractional type stochastic systems

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