Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion
2003 ◽
Vol 11
(3)
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Keyword(s):
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.
2017 ◽
Vol 25
(4)
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2003 ◽
Vol 11
(3)
◽
pp. 229-242
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2018 ◽
Vol 36
(5)
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pp. 767-781
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2018 ◽
Vol 36
(4)
◽
pp. 600-612
2021 ◽
Vol 37
(7)
◽
pp. 1156-1170
2011 ◽
Vol 62
(3)
◽
pp. 1166-1180
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