<SUB>∈</SUB>-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion

Distributions of the Maximum Likelihood and Minimum Contrast Estimators Associated with the Fractional Ornstein-Uhlenbeck Process

Tanaka, Katsuto
田中, 勝人

August 2011

We discuss some inference problems associated with the fractional Ornstein-Uhlenbeck (fO-U) process ...

Minimum L<SUB>1</SUB> -norm estimation for fractional Ornstein-Uhlenbeck type process

Prakasa Rao, B. L. S.

December 2005

We investigate the asymptotic properties of the minimum L1-norm estimator of the drift parameter for...

Parameter estimation in the models with long-range dependence

Mishura, Y. S.
Ralchenko, K. V.
Shevchenko, G. M.

January 2013

We consider a problem of statistical estimation of an unknown drift parameter for a stochastic diff...

Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion

Prakasa Rao, B. L. S.

September 2003

We investigate the asymptotic properties of the maximum likelihood estimator and Bayes estimator of ...

F.G.: Statistical aspects of the fractional stochastic calculus

Ciprian A. Tudor
Frederi G. Viens

April 2015

We apply the techniques of stochastic integration with respect to the frac-tional Brownian motion an...

Parametric estimation for linear system of stochastic differential equations driven by fractional Brownian motions with different Hurst indices

Prakasa Rao, B. L. S.

January 2009

We consider the problem of maximum likelihood estimation of the common trend parameter for a linear ...

On Drift Parameter Estimation in Models with Fractional Brownian Motion by Discrete Observations

Yuliya Mishura
Kostiantyn Ralchenko

June 2014

<div class="page" title="Page 1"><div class="layoutArea"><div class="column"><p><span>We study a pro...

Identification for linear stochastic systems driven by fractional Brownian motion

Prakasa Rao, B. L. S.

January 2004

We apply Grenander's method of sieves to the problem of identification or estimation of the "drift" ...

fractional Brownian

January 2016

Asymptotic properties of drift parameter estimator based on discrete observations of stochastic diff...

Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional brownian motion

Mishura, Yuliya
Ral’chenko, Kostiantyn
Seleznjev, Oleg
Shevchenko, Georgiy

January 2014

In this chapter, we consider a problem of statistical estimation of an unknown drift parameter for a...

Drift parameter estimation in Gaussian regression model by continuous and discrete observations

Ralchenko, K.

January 2019

The paper is devoted to the maximum likelihood estimation in the regression model of the form Xt = θ...

Statistical aspects of the fractional stochastic calculus

Tudor, Ciprian,
Viens, Frederi

July 2007

International audienceWe apply the techniques of stochastic integration with respect to the fraction...

Instrumental variable estimation for linear stochastic differential equations driven by fractional Brownian motion

Prakasa Rao, B. L. S.

January 2007

We investigate the asymptotic properties of instrumental variable estimators of the drift parameter ...

2003e) Identification for linear stochastic systems driven by fractional Brownian motion

B. L. S. Prakasa Rao
B. L. S. Prakasa Rao

August 2016

We apply Grenander’s method of sieves to the problem of identification or estimation of the ”drift ”...

Sequential estimation for fractional Ornstein-Uhlenbeck type process

Prakasa Rao, B. L. S.

January 2004

We investigate the asymptotic properties of the sequential maximum likelihood estimator of the drift...

Distributions of the Maximum Likelihood and Minimum Contrast Estimators Associated with the Fractional Ornstein-Uhlenbeck Process

Tanaka, Katsuto
田中, 勝人

August 2011

We discuss some inference problems associated with the fractional Ornstein-Uhlenbeck (fO-U) process ...

Minimum L<SUB>1</SUB> -norm estimation for fractional Ornstein-Uhlenbeck type process

Prakasa Rao, B. L. S.

December 2005

We investigate the asymptotic properties of the minimum L1-norm estimator of the drift parameter for...

Parameter estimation in the models with long-range dependence

Mishura, Y. S.
Ralchenko, K. V.
Shevchenko, G. M.

January 2013

We consider a problem of statistical estimation of an unknown drift parameter for a stochastic diff...

Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion

Prakasa Rao, B. L. S.

September 2003

We investigate the asymptotic properties of the maximum likelihood estimator and Bayes estimator of ...

F.G.: Statistical aspects of the fractional stochastic calculus

Ciprian A. Tudor
Frederi G. Viens

April 2015

We apply the techniques of stochastic integration with respect to the frac-tional Brownian motion an...

Parametric estimation for linear system of stochastic differential equations driven by fractional Brownian motions with different Hurst indices

Prakasa Rao, B. L. S.

January 2009

We consider the problem of maximum likelihood estimation of the common trend parameter for a linear ...

On Drift Parameter Estimation in Models with Fractional Brownian Motion by Discrete Observations

Yuliya Mishura
Kostiantyn Ralchenko

June 2014

<div class="page" title="Page 1"><div class="layoutArea"><div class="column"><p><span>We study a pro...

Identification for linear stochastic systems driven by fractional Brownian motion

Prakasa Rao, B. L. S.

January 2004

We apply Grenander's method of sieves to the problem of identification or estimation of the "drift" ...

fractional Brownian

January 2016

Asymptotic properties of drift parameter estimator based on discrete observations of stochastic diff...

Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional brownian motion

Mishura, Yuliya
Ral’chenko, Kostiantyn
Seleznjev, Oleg
Shevchenko, Georgiy

January 2014

In this chapter, we consider a problem of statistical estimation of an unknown drift parameter for a...

Drift parameter estimation in Gaussian regression model by continuous and discrete observations

Ralchenko, K.

January 2019

The paper is devoted to the maximum likelihood estimation in the regression model of the form Xt = θ...

Statistical aspects of the fractional stochastic calculus

Tudor, Ciprian,
Viens, Frederi

July 2007

International audienceWe apply the techniques of stochastic integration with respect to the fraction...

Instrumental variable estimation for linear stochastic differential equations driven by fractional Brownian motion

Prakasa Rao, B. L. S.

January 2007

We investigate the asymptotic properties of instrumental variable estimators of the drift parameter ...

2003e) Identification for linear stochastic systems driven by fractional Brownian motion

B. L. S. Prakasa Rao
B. L. S. Prakasa Rao

August 2016

We apply Grenander’s method of sieves to the problem of identification or estimation of the ”drift ”...

Sequential estimation for fractional Ornstein-Uhlenbeck type process

Prakasa Rao, B. L. S.

January 2004

We investigate the asymptotic properties of the sequential maximum likelihood estimator of the drift...

Distributions of the Maximum Likelihood and Minimum Contrast Estimators Associated with the Fractional Ornstein-Uhlenbeck Process

Tanaka, Katsuto
田中, 勝人

August 2011

We discuss some inference problems associated with the fractional Ornstein-Uhlenbeck (fO-U) process ...

Minimum L<SUB>1</SUB> -norm estimation for fractional Ornstein-Uhlenbeck type process

Prakasa Rao, B. L. S.

December 2005

We investigate the asymptotic properties of the minimum L1-norm estimator of the drift parameter for...

Parameter estimation in the models with long-range dependence

Mishura, Y. S.
Ralchenko, K. V.
Shevchenko, G. M.

January 2013

We consider a problem of statistical estimation of an unknown drift parameter for a stochastic diff...

<SUB>∈</SUB>-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion

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<SUB>∈</SUB>-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion

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<SUB>&#8712;</SUB>-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion

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<SUB>∈</SUB>-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion

<SUB>∈</SUB>-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion