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B. L. S. Prakasa Rao

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

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.

Random Operators and Stochastic Equations, Walter de Gruyter

Print ISSN: 0926-6364
Volume: 11, 09/2003
Pages: 229 - 242

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