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Estimation of drift parameter and change point via Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and observation driven by a Brownian motion

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We study the estimation of the drift parameter and the change point obtained through a Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and the observation driven by a Brownian motion.

Abstract

We study the estimation of the drift parameter and the change point obtained through a Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and the observation driven by a Brownian motion.

참고문헌 (15)

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  10. Estimation of drift parameter and change point via Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and observation driven by a Brownian motion, Ressearch Report RR2017-07, "M. N. Mishra", CR Rao Advanced Institute of Mathematics, Statistics and Computer Science, ~ (2017)
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  15. B. L. S. Prakasa Rao, "Statistical Inference for Fractional Diffusion Processes, Wiley Series in Probability and Statistics" (2010), John Wiley & Sons, Ltd.

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