Prakasa Rao, B. L. S. (2007) Instrumental variable estimation for linear stochastic differential equations driven by fractional Brownian motion Stochastic Analysis and Applications, 25 (6). pp. 1203-1215. ISSN 0736-2994
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Official URL: http://www.informaworld.com/smpp/content~db=all~co...
Related URL: http://dx.doi.org/10.1080/07362990701567306
Abstract
We investigate the asymptotic properties of instrumental variable estimators of the drift parameter for stochastic processes satisfying linear stochastic differential equations driven by fractional Brownian motion.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Group. |
| Keywords: | Asymptotic Normality; Consistency; Fractional Brownian Motion; Fractional Ornstein-Uhlenbeck Type Process; Instrumental Variable Estimation; Linear Stochastic Differential Equations |
| ID Code: | 37715 |
| Deposited On: | 26 Apr 2011 12:48 |
| Last Modified: | 26 Apr 2011 12:48 |
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