Prakasa Rao, B. L. S. (2003) Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion Random Operators and Stochastic Equations, 11 (3). pp. 229-242. ISSN 0926-6364
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Official URL: http://www.reference-global.com/doi/abs/10.1515/15...
Related URL: http://dx.doi.org/10.1515/156939703771378581
Abstract
We investigate the asymptotic properties of the maximum likelihood estimator and Bayes estimator of the drift parameter for stochastic processes satisfying linear stochastic differential equations driven by fractional Brownian motion. We obtain a Bernstein-von Mises type theorem also for such a class of processes.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Walter de Gruyter GmbH & Co. KG. |
| ID Code: | 37928 |
| Deposited On: | 26 Apr 2011 12:45 |
| Last Modified: | 26 Apr 2011 12:45 |
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