Items for "fractional Brownian noise"

Regularity conditions and the maximum likelihood estimation in dynamical systems with small fractional Brownian noise

We give sufficient conditions under which dynamical system with small fractional Brownian noise generates a set of regular statistical experiments in a sense of Ibragimov and Has'minskii's definition...

Keywords: maximum likelihood estimation, fractional Brownian noise, dynamical system with small noise, Regularity, strong consistency, uniform asymptotical normality