Prakasa Rao, B. L. S. (2004) Identification for linear stochastic systems driven by fractional Brownian motion Stochastic Analysis and Applications, 22 (6). pp. 1487-1509. ISSN 0736-2994
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Official URL: http://www.informaworld.com/smpp/content~db=all~co...
Related URL: http://dx.doi.org/10.1081/SAP-200029489
Abstract
We apply Grenander's method of sieves to the problem of identification or estimation of the "drift" function for linear stochastic systems driven by a fractional Brownian motion (fBm). We use an increasing sequence of finite dimensional subspaces of the parameter space as the natural sieves on which we maximise the likelihood function.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Group. |
| Keywords: | Linear Stochastic Systems; Stochastic Differential Equations; Fractional Ornstein-Uhlenbeck Process; Fractional Brownian Motion; Identification; Nonparametric Estimation; Consistency; Asymptotic Normality; Method of Sieves |
| ID Code: | 37702 |
| Deposited On: | 26 Apr 2011 12:46 |
| Last Modified: | 26 Apr 2011 12:46 |
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