Mishra, M. N. ; Prakasa Rao, B. L. S. (2008) ∈-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion Random Operators and Stochastic Equations, 16 (2). pp. 165-180. 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.2008.009
Abstract
We investigate ∈-upper and lower class functions for the maximum likelihood estimator 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 Walter de Gruyter GmbH & Co. KG. |
| Keywords: | Linear Stochastic Differential Equations; Fractional Ornstein-Uhlenbeck Type Process; Fractional Brownian Motion; Maximum Likelihood Estimation; Upper Function; Lower Function |
| ID Code: | 37912 |
| Deposited On: | 26 Apr 2011 12:49 |
| Last Modified: | 26 Apr 2011 21:41 |
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