Prakasa Rao, B. L. S. (2004) Sequential estimation for fractional Ornstein-Uhlenbeck type process Sequential Analysis, 23 (1). pp. 33-44. ISSN 0747-4946
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Official URL: http://www.informaworld.com/smpp/content~db=all~co...
Related URL: http://dx.doi.org/10.1081/SQA-120030193
Abstract
We investigate the asymptotic properties of the sequential maximum likelihood estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process satisfying a linear stochastic differential equation driven by a fractional Brownian motion.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Group. |
| Keywords: | Fractional Ornstein-Uhlenbeck Type Process; Fractional Brownian Motion; Sequential Maximum Likelihood Estimation |
| ID Code: | 37701 |
| Deposited On: | 26 Apr 2011 12:46 |
| Last Modified: | 26 Apr 2011 12:46 |
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