Prakasa Rao, B. L. S. (2005) Estimation for translation of a process driven by fractional Brownian motion Stochastic Analysis and Applications, 23 (6). pp. 1199-1212. ISSN 0736-2994
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Official URL: http://www.informaworld.com/smpp/content~db=all~co...
Related URL: http://dx.doi.org/10.1080/07362990500278725
Abstract
We investigate the general problem of estimating the translation of a stochastic process governed by a stochastic differential equation driven by a fractional Brownian motion. The special case of the Ornstein-Uhlenbeck process is discussed in particular.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Group. |
| Keywords: | Estimation for Translation; Fractional Brownian Motion; Fractional Ornstein-Uhlenbeck type Process; Maximum Likelihood Estimation; Stochastic Differential Equation |
| ID Code: | 37710 |
| Deposited On: | 26 Apr 2011 12:46 |
| Last Modified: | 26 Apr 2011 12:46 |
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