Estimation of the drift of fractional Brownian motion

DOI10.1016/j.spl.2009.04.004zbMath1171.62044arXiv0905.1419OpenAlexW2964121061MaRDI QIDQ923871

Khalifa Es-Sebaiy, Idir Ouassou, Youssef Ouknine

Publication date: 24 July 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.1419

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Gaussian processes (60G15) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

Related Items (8)

Estimation of the drift of a Gaussian process under balanced loss function ⋮ Efficient and superefficient estimators of filtered Poisson process intensities ⋮ Remarks on parameter estimation for the drift of fractional Brownian sheet ⋮ On the fractional stochastic integration for random non-smooth integrands ⋮ Estimation of the drift of Riemann-Liouville fractional Brownian motion ⋮ Drift estimation with non-Gaussian noise using Malliavin calculus ⋮ Estimators for the Drift of Subfractional Brownian Motion ⋮ Maximum likelihood estimation for Gaussian process with nonlinear drift

Cites Work

• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Regularization of differential equations by fractional noise.
• Fractional Brownian Motions, Fractional Noises and Applications
• Stochastic calculus with respect to Gaussian processes
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Estimation of the drift of fractional Brownian motion