Prakasa Rao, B. L. S. (2008) Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion Random Operators and Stochastic Equations, 16 (1). pp. 27-38. ISSN 0926-6364
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Official URL: http://www.reference-global.com/doi/abs/10.1515/RO...
Related URL: http://dx.doi.org/10.1515/ROSE.2008.003
Abstract
Consider a linear stochastic differential equation dX(t) = (aX(t)+ bX(t - 1))dt + dWtH , t ≥ 0 With time delay driven by a fractional Brownian motion {wtH, t ≥ 0} . We investigate the asymptotic properties of the maximum likelihood estimator of the parameter θ = (a, b).
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Walter de Gruyter GmbH & Co. KG. |
| Keywords: | Linear Stochastic Differential Equation; Time Delay; Fractional Ornstein-uhlenbeck Type Process; Fractional Brownian Motion; Maximum Likelihood Estimation; Consistency; Local Asymptotic Normality; Local Asymptotic Mixed Normality |
| ID Code: | 37658 |
| Deposited On: | 26 Apr 2011 12:49 |
| Last Modified: | 26 Apr 2011 12:49 |
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