Estimation for Translation of a Process Driven by Fractional Brownian Motion

DOI10.1080/07362990500278725zbMath1101.62068OpenAlexW1986743866MaRDI QIDQ5707908

B. L. S. Prakasa Rao

Publication date: 25 November 2005

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

Full work available at URL: https://doi.org/10.1080/07362990500278725

zbMATH Keywords

stochastic differential equationmaximum likelihood estimationfractional Brownian motionfractional Ornstein-Uhlenbeck type processestimation for translation

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Generalizations of martingales (60G48)

Related Items (1)

Optimal estimation of a signal perturbed 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
• Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process
• Parameter estimation and optimal filtering for fractional type stochastic systems

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