Prakasa Rao, B. L. S. (2009) Parametric estimation for linear system of stochastic differential equations driven by fractional Brownian motions with different Hurst indices Theory of Probability and Mathematical Statistics, 79 . pp. 143-151. ISSN 0094-9000
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Official URL: http://www.ams.org/journals/tpms/2009-79-00/S0094-...
Related URL: http://dx.doi.org/10.1090/S0094-9000-09-00788-1
Abstract
We consider the problem of maximum likelihood estimation of the common trend parameter for a linear system of stochastic differential equations driven by two independent fractional Brownian motions possibly with different Hurst indices. Asymptotic properties of the maximum likelihood estimator are discussed.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to American Mathematical Society. |
| ID Code: | 37742 |
| Deposited On: | 26 Apr 2011 12:50 |
| Last Modified: | 26 Apr 2011 12:50 |
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